What you would do to winter protect your rose, or if it needs protection at all, depends a lot on the winter weather conditions in your area. This includes things like snowfall, lowest expected temperatures, wind pattern, degree of exposure. The variety of the rose is also important, as some roses are exceptionally winter hardy, others not at all. There is also a difference if it's an ownroot vs a grafted rose. In general terms, the roses are pruned, taking out old, unproductive, weak, dead or diseased canes. I usually prune the rest of the canes back by 1/3 to 1/2 it's length. I then apply a 3-5 inch mulch of mushroom manure around the crown, and out to the drip line. This is more than adequate for almost all the roses in our zone 7b.
Just to add to what the Weekend Gardener has said. Winter protection starts by letting the plant know it's time for dormancy by leaving the last of the flowers on to form hips. This changes the chemical signals in the plant and tells it to move nutriments into the root system to be used in the spring. A general rule for prunning time in the valley is to start when the forsythia's start to bloom.
Treatment varies with the kind of rose, some are very hardy and might also not benefit from the annual hard pruning favored for popular bedding types like hybrid teas and floribundas -these last also tending to be comparatively prone to penetrating cold, 10F being adequate to kill the tops off above the snow (or mulch level). Where the climate is really too cold for such types they are kept going by laying them over and burying the entire plant for the winter, storing in the ground like edible root vegetables (carrots and potatoes).