Choose the right roses for your zone, and always protect branches during winter months.
Winter protection. The first maxim of winter protection is this: If you select plants that are hardy to winter in your area, you won't have to worry that much about protecting them. One of the most important aspects of selection is to buy roses budded onto rootstock that will survive your climate -- for example, multiflora for zone 6 and colder -- and to plant the bud union at the correct level for your zone.
Hardy by nature. Hardiness is a measure of the ability of a rose to survive winter temperatures. Many species roses, shrubs, old roses, and climbers, as well as some of the newer hybrid teas and floribundas, survive freezing and need little or no protection. Miniatures are more cold resistant than hybrid teas, and need little protection (in zones 6 and warmer, only 12 inches of dried leaves). How much protection you provide is therefore governed by the severity of your winter cold and the hardiness of the rose you have selected. In areas where it rarely freezes, no winter protection is necessary. In any area where freezing is common, you'll need to protect roses that you're stretching out of their zone. Sometimes nature will do it for you. That first thick blanket of snow can be a good insulation if it stays in place for some time. It keeps temperatures beneath it from dipping too far below freezing, but low enough to keep the plant in dormancy. Snow layers can also keep the canes from drying out in the wind. Unfortunately, not everyone lives where snow provides a dependable cover all winter.
Providing extra protection. In a cylinder made from chicken wire, cover the roses with about 12 inches of soil and an additional 12 inches of leaves (shredded oak leaves work well). This will protect the bud union and the lower portion of the canes. Remove the mound in spring and work it into the soil. You can also use rose cones made of polystyrene or compressed fiber. They're sold at garden centers in several sizes and should be filled with mounded soil and mulch. Weight them down with a brick and when the weather warms, remove the top (or cut the top off) to allow air circulation and to inhibit the growth of mold and fungi. If you're growing climbers, untie them from their support, tie them together in a bundle, and wrap them in burlap. To get tree roses through severe winters, partially dig them up, lay them on their side, and cover them with a mixture of soil and mulch. When temperatures fall below 28 degrees F, it's time to relocate your roses in containers. Move them to an unheated shelter or garage (but not colder than 10 degrees F), away from the wind. When the foliage begins to fall, remove the remaining leaves completely. Water the plants occasionally but do not fertilize them. When all danger of spring frost is past, move the roses in their containers back outside. Prune them lightly to start new growth. In areas where the temperature stays above 28 degrees F (zones 9 and 10), your roses in containers can stay outside all winter long. Remember to cut back on their water and do not fertilize them while they're dormant.