Some roses are more cold-tolerant than others. Old garden roses, for instance, are hardy to USDA zone 3, where the coldest temperature in the winter can get to a brisk minus 40 degrees F. Hybrid teas and floribundas aren't nearly as hardy and need winter protection. What you are aiming for when providing protection is the prevention of damage caused by the soil freezing and thawing and then freezing again.
Stop fertilizing, dead-heading and pruning the rose bush in late summer. Don't do anything that will encourage the plant to produce new growth.
Tie the canes together if the bush is tall enough to be whipped by wind gusts.
After the first killing frost, mix together coarse compost and garden soil (brought from another area of the garden) in a 2-to-1 ratio. Pile the mixture over the rose bush. There should be a 10- to 12-inch pile of the material covering the crown and the lower branches.
Cover the compost/soil mound, after it freezes, with leaves, straw or tree branches with foliage, such as pine boughs.
Cover the entire rose bush, including the mounded material, in areas with very harsh winters. Wrap the bush in burlap and wind rope around it to hold it secure. Don't tie the rope too tight.