1. Rose Cone
Rose cones are cone-shaped Styrofoam covers that are placed over the rose for the winter season. They are suitable for smaller sized roses, are fairly inexpensive, and very easy to use. These are available at stores like Canadian Tire or garden centers.
Cut several one-inch holes into the cone to provide ventilation for the rose and ensure the temperature inside the cover does not become excessive. Mound some soil around the base of the rose to provide additional protection for the roots. Place the cone over the rose and secure with a rock or other heavy object to ensure it does not blow away. That's it, you're done.
When native trees start to bud in the spring, it is time to remove the rose cone and excess soil that was placed around the crown of the shrub in the fall. The rose may require some pruning. Wait until the rose starts growing to see if there are any dead branches, or if shaping is required.
2. Chicken Wire Cage
For roses of a larger stature, create a circular cage made of chicken wire that will fit around the rose. Again, mound some soil around the base of the rose for added root protection. The chicken wire can be lined with burlap to hold the contents in. Then fill the cage with leaves, straw, or bark chip to insulate the stems.
Remove the cage and contents in the spring as described above for rose cones.
3. Container Grown Roses
I grow my tender roses in containers in the summer. This way I can ensure they can be moved around to receive maximum sun in my yard, and I've really run out of room in my garden for roses.
Remember, plants grown in containers will require more frequent watering and fertilization than plants grown in the ground. Ensure your roses are well-watered leading up to frost because once the soil is frozen, you can't add any additional water for uptake by the plant.
Once winter comes (usually November) I move my roses into my unheated garage, up against the house. I leave them there until spring and then bring them back into the yard. I used this method for three David Austin roses which are zone 5 and it worked for me last year. I did lose one rose however.
4. Treat Them as Annuals
If you don't like to baby your plants, then you can always treat tender roses as annuals in our climate. They can be grown in the ground or in containers. At the end of the season if you do nothing, the rose will probably die over the winter. In the spring, you can replace it with another tender rose or whatever suits your fancy.