If you live in a harsh winter climate, you should do the following: Add 2-3" of mulch, leaves, or pine/fir boughs around the base of the plant. A heavy snow cover will also help insulate and protect the plant through the winter. Also, the winter winds can really dry out the plant so you may want to wrap the plant with burlap. In spring, remove any extra mulch that may be covering the plant too deeply and trim out any dead or broken canes, also remove any burlap that you may have used to wrap the plant.
Don't panic! Leave the containers outside through the first few frosts, then bring them inside and store in a cool, dark area such as your basement or garage. If you store your containers in the garage, remember to protect them from the winter temperatures that can come in as you open and close the door. Store your containers inside until the threat of the last frost has passed, typically in early spring. You'll want to check your roses periodically to make sure they don't dry out completely.