Most roses are marginally hardy in the Chicago area, so horticulturists recommend protecting them over winter.
It is particularly true when a rose has been planted during the current year. Grafted roses need to be planted with the graft 2 inches below the surface of the garden soil.
After a hard freeze prune the stems to 24-36 inches tall. Do not prune more because the roots get energy from the dormant stems during winter.
To protect the woody stems from the freezing and thawing that occurs during a usual Chicago winter; spray them with an anti-transpirant like Wilt-Pruf. Then mound garden soil 8 inches over the center of the plant (also called the crown of the plant). This will protect the plant by keeping it dormant.
If uncovered when the weather warms up, the plant will start to actively grow. It is susceptible when the temperatures drop again causing the water in the cells to freeze, killing the cells and the entire plant. Rose collars are placed around the base of the plant to hold the 8 inches of soil in place and prevent it from washing away before it freezes or if it thaws.
Many people look for the old fashioned white Styrofoam rose cones. They are not good because they trap too much heat and humidity around the dormant rose plants. They can cause more disease and damage than using no protection at all.