Wait until after a couple or three good frosts. Plant should be dormant for pruning. Generally, it can bet cut back severely. If you have moderate winter where the temperature doesn't get below, sa 10 or 20 degrees F then you won't need to cover the rose. Here in the western U.S. we normally expect some temperature in the -20 or even-30 degrees so we mulch th eplants heavily.
Even if you don't have severe temps, it's best to mulsch th eplant to keep it from drying out excessively.
In the spring, fertilize as soon as any growth is detected...