Sassa - I'm zone 5-4, and I have a ton of roses. Not a 3rd as many as Zuzu, but quite a few for this cold of a zone (over 300). What I do is bury them extremely deep and cover them with a TON of mulch. Winter watering is a MUST for my dry climate, but if you have snow, you won't have to winter water. You probably have a bad wind problem as well. This is what I would do in your case:
Buy own-root if possible. Budded roses may not survive the extreme cold as easily as own-root.
Dig a hole a minimum of 12" deep. Preferably deeper. If you buy budded, you will need to put the bud at LEAST 2 inches below the surface. I try to put the bud union 4" below the surface.
Mulch Mulch Mulch Mulch Mulch. I use Western Cedar mostly, but I put a BARE MINIMUM of 4-6" of mulch around the base of the rose. Technically, my entire yard is mulch (I have to remulch it this summer as the front yard has decayed to the point that it's only about 2-4" thick now). This will protect the rose from the thaw/refreeze part, plus retain moisture in the dry, dissicating winds.
Feed heavily in the spring time. Spring, when it's safe to feed, is grow-time, so you want those babies to GROW GROW GROW!
Do NOT trim or deadhead after Labor Day. I stop feeding mid-August and stop deadheading/pruning in beginning of September. That way, the roses have a clue to stop flowering & start preparing for winter.
Do NOT prune until after the forsythias bloom. When you prune, that signals the rose to grow. If they start to grow & you get a late cold snap, you can easily kill the rose. Trust me.
So you just have to be patient. I don't pay attention to the lilacs.. lilacs are retarded & bloom no matter what Spring throws them. But forsythias.. those are more intelligent and will only bloom when it's safe to.
I don't pay attention to zones when it comes to my roses. I think well over 60% of my roses are zone 6 and probably 30% are zone 7. Now as of late we haven't we had a real winter, but my losses have dramatically gone down ever since I've been doing these things. I just put in the ground this past Sunday (12/2) 11 roses from Palatine (
http://palatineroses.com/searc...) and what I did with these guys was I watered pretty heavily 2 days before so that the ground was nice & soft, dug the whole about 14-16" deep and about 12" around, put each rose in the ground so that the bud union was at LEAST 4" deep, refilled the hole with MiracleGro Tree/Shrub soil & native soil, then put my "bucket" (what a "bucket" is is I get a 2-5gal black pot from a plant I bought earlier in the season and cut off the bottom so that it's a rigid black tube) around then filled the bucket 100% with mulch. It will cover the canes completely, but this time of year, the canes don't need to be exposed as that will actually be bad for them. Then, in the spring once the forsythias bloom, I'll remove the buckets and move a LITTLE of the mulch away so that the tips of the canes are exposed. I won't expose the entire cane until after Mother's Day.
I hope some of this helps.