Porkpal is right. If you can return the rose, that's your best bet. It's easier to start with a healthier plant.
If you can't return it, as Frank has recommended, water it every day. You don't want the soil to be totally saturated every day, you just want to keep it moist.
Roses grow their roots first. You may not see anything happening to the top growth, including the swelling of any bud eyes.
Don't feed it until you see some new growth. That tells you the root system is working. Then you can feed it lightly. That is also the time to clean up the rose you couldn't return.
The rose is totally stressed right now, so now is not the time to be cutting back any of those lousy canes. Let the rose get some roots under it first ...