Before you start to worry about whether or not your roses need winter protection, check to see if they are a Zone 3-4 hardy variety. There are many different series of rose cultivars developed both in Canada and the northern US that can make it through the winter without help from us. If you are unsure, check out this list from the University of Minnesota Extension Office: https://goo.gl/sgwSb7.
If you have non-hardy cultivar, you have two options for protecting your roses from the winter cold: mounding or tipping. To mound your roses, first cut them back to roughly 8-12” tall. Then, cover them completely with soil. Cover the soil mound with about 12” of leaves or straw. You may want to create a kind of fence from chicken wire or similar material around the mound to keep the leaves or straw contained.
Tipping your roses is a bit more difficult, but allows you to keep more of the plant intact. First, carefully tie all of the stems together into a bundle. Next, dig a trench coming out from the base of the rose. The trench needs to be the same size as the bundled plant. Then, carefully loosen the roots and gently push the rose sideways into the trench (fig. 1). Fill the trench back in with the soil you had removed (fig. 2). Finally, cover the entire area with about 12″ of leaves or straw. Again, you can use chicken wire or similar material to help keep everything in place.
You can uncover and untie your roses in the spring when the ground thaws, usually early April. Be sure to water them well and prune out any dead or damaged stems.