If you live in a really cold area, cover the base of the plant with straw or mulch. Some people even use burlap sacking wrapped around the bush in winter.
To protect your bushes from the cold there are a couple of options. You can use fabric to cover the bushes themselves; protect the roots by using mulch.
You could choose to cover up the rose bushes with plastic tarp in your backyard. That is one way you can protect them from the cold during the winter season.
