Answer: Rose bushes are fairly cold tolerant in terms of spring cold spells. However, newly planted dormant bushes should have some soil mounded up around them until they leaf out at the top, at which point you remove some of the mounded soil and allow the next lower section to leaf out, and so on. The soil keeps the canes humid so they don't dry out and allows the bush to come out of dormancy slowly.
If you want to coddle your roses (or if truly cold temperatures are predicted) you can cover the plant with an upended cardboard box or trash can or bushel basket or even a blanket for the night. If you do this, be sure to remove it early in the morning so there is no undue heat build up (the way a car heats up in the sun) during the day.
Winter protection depends on the type of rose you have. You might want to look at a book I particularly like called "Roses for Dummies" by Lance Walheim, ISBN 0-7645-5031-4, which includes detailed instructions on what to do for the different types of roses.
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