Identify the type of roses you have, if possible. Hybrid tea roses need somewhat different treatment than do rugosas or climbers. If in doubt, go for maximum protection just to be sure.
Figure out your USDA Zone and/or your region's lowest temperatures. How much protection you need depends on how cold your winters get.
Don't worry about additional winter protection if you live in regions where temperatures don't fall below 20 degrees (Zone 9 and warmer). All you'll want to do to prepare your roses for winter is cut back damaged or cold-blackened portions of the plant.
Mound 4-5 inches of soil over the base of the rose if you live in cooler regions where temperatures don't fall below 10 degrees below zero (Zones 6-8); in these climates nearly all roses can get through the winter with a simple mounding.
Mound to about a foot a month after your region's last average frost date if you live in cold-winter regions where temperatures get colder than 10 degrees below zero (Zone 5 and colder). More protection is needed here for all roses, with the exception of those tough rugosas.
Wrap the entire plant in burlap to protect upper parts in these coldest climates; do this two weeks after mounding. Tie the burlap in place with twine. If the plant is too large to do this easily, consider pruning back some parts. Proceed with caution since some roses will bloom only on the season's previous growth.
Provide climbers with additional protection in Zones 4 and colder. Remove them from their support and lay them on the ground. Pin them down with bricks or stakes. Then mulch over them with straw, pine boughs, or other loose material.