Answer: The answer to your question depends in part on which specific rose you are growing. But you would always remove dead or damaged or diseased canes as soon as you see them. You can also deadhead regularly.
For pruning beyond that, I recommend the following guide. There is an entire section on Pruning Rambling and Climbing Roses discussing the different types and how to treat them and when to do it. You may need to cut and paste the complete url into your browser to make it work correctly.
I hope this helps!
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