Answer: Your zip code places you in zone 6A or the coldest part of zone 6, however depending on the microclimate where you garden it might be as cold as zone 5. To some extent what needs to be done will depend on the type of rose you have.
Hybrid teas are very popular but the most difficult to overwinter successfully, with many not reliably hardy in your zone. So, first make sure you have selected varieties that are considered hardy in your area. Grafted roses should be planted so the graft is several inches below the soil surface as this will help protect it from the winter cold. Tea roses should have a mound of soil placed over the base of the shrub in late fall. Dig the soil elsewhere in the garden (meaning do not take it from next to the plant thereby exposing the roots). The soil should be about a foot high. In the spring, gradually remove the soil as the weather warms. If they are in a windy spot, you could also provide a wind break to help protect the canes.
Many of the newer low maintenance landscape roses and old shrub roses such as rugosas are much easier to care for and many varieties are reliably hardy in zone 5 and colder. Select plants grown on their own roots rather than grafted so that they can regrow successfully should winter damage ruin the top growth. Mulch generously in late fall. Again, a windbreak can be helpful but should not be necessary provided they are considered hardy in your area.
In general terms, the healthier the plants are overall the better they will come through winter. They need to be planted in full sun, in a spot with good air circulation (although some shelter from winter wind can be a good idea) and also in a location with well drained soil. (Poorly drained soil can contribute significantly to winter loss as well.)
You might want to check with your local professionally trained nursery staff as well as your local chapter of the American Rose Society for additional tips and suggestions of varieties that do especially well in your local area. The ARS web site also includes many rose care articles you may find helpful.
In the meantime, I hope this helps.
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