Roses need special care to safe-keep them through very frigid weather. But even in the depths of a Zone 3-4 winter, when temps drop to minus 20 F and below, there are successful methods. Of course, you must be sure to plant rose bushes that are intended for your Plant Hardiness Zone. Knock-out roses, for example are usually hardy down to Zone 5.
First, do some clean-up. Clear away any leaves or old mulch which can harbor fungal spores. It is suggested you spray rose plants with a fungicide/dormant spray after mid October. Following the first hard frost, trim back the canes to a few feet. Then, to help prevent winter wind damage, you can tie the canes together. Using mulch or wood chips mixed with soil or compost, mound up about 10 inches over the graft or crown of the plant. For more protection, continue adding mulch to a depth of 15-18 inches. Once the ground is completely frozen and mice are not a threat, you can provide further protection by creating a fence around them. Fill the enclosure with straw, hay, or strawy manure to a depth of 3 feet. Once warmer weather arrives around April, reverse the process, removing the last layer, and adding water.
Another method is to use effective, but more expensive, rose cones. Set them in place after several hard frosts have put the roses into complete dormancy. Cut the canes back and tie together so they will fit completely under the cones. Mound soil or mulch over the base of each rose, then add more dry mulching material, such as leaves or straw. Place the cone over the mulched rose bush and punch 4-6 holes around the top to allow ventilation. This air flow helps prevent too much heat from building up that can cause the rose to break dormancy too early. Wrangling rose bushes into the cones can be a prickly experience, so wear protective gloves and sleeves. Make sure to weigh down the cones with a brick or heavy rock and mound some mulch or soil over the base. Remove the cones in the spring after the threat of hard frost has passed.