2 Answers

http://www.dummies.com/how-to/content/protecting-roses-from-winter-damage.html    

This website is one of those "XXXXX for Dummies".  
Please check it out.  (I'm not calling you a dummy; just want you to know this is as basic as it gets. I have rose bushes, so will be reading this article, too.) 

Depends where you live, with a cold winter, as we have here in RI we cut them back by upwards of 2/3 their height  (this depends upon rose type, climber, tea, grand-flora, bush, etc.).  Then we mulch them with straw, sawdust, or as I used one year "wolly mulch".  This I used as a weed-free alternative to straw (the conventional mulch).  I even tried to brand it and market it for the local wool growers, as the prices were in the crapper that year.  What I did was used the wool from newly shorn sheep, and put a bunch of it around the root zone of the base of the bush.  In the spring, I removed it, and recycled it around veggie plants in the garden.  I tried to till it into the garden in the fall, but it really was a problem with the tines of the rototiller.  Another year, I saved it, placing it alternatively to roses and back to garden.  It lasted about two rotations.  The songbirds loved it, as they would grab some in spring to line their nests!  It really takes a few years to compost down (a slight drawback)...