Hi, There are different types of roses and depending on the type there are different measures to take. Rugosa types don't need help to get through the winter; these are very hardy and sometimes seem wild. I have not had problems with some minatures also. Then there are some climbing roses that need to be unfastened from whatever they are growing on, laid on the ground and mulched. I am growing a climber called 'John Cabot' that is very hardy and doesn't need to be taken down. Since I don't know what kind you have I will discuss the different mulching methods. First of all clean up under your rose bush fallen rose leaves; they can harbor diseases.
Since you live in zone 4 you need a little more protection for your roses. After the first frost mound soil around the base of the rose to a height of 6 to 12 inches above the bud union.
You can buy the styrofoam cones to cover the bush with. Place a rock or brick on top to keep it from blowing over. Or form a cage of wire to put around the rose. Fill the cage with leaves or straw. Don't pack it too tightly.
In the spring don't pull off the protection until the freezing-thawing cycles are over with. This is a very difficult time for some plants. They start to wake up from a long winters nap and BANG! the freezing weather is back. This can injure them.
Happy Gardening, Diane