Take a peak at these suggestions for choosing an area to plant your rose, as well as step by step planting instructions.
Site: good drainage, and 4-5 hours of sun.
     First of all, it is very important to choose a sunny area of the garden that gets at least 4 to 5 hours of sun for your rose. Do not crowd your rose with other trees and plants. Some roses, such as climbers and shrubs, don’t mind company, but most like to mix with other roses or other non-invasive plants. If you’re replacing an older rose bush, it is important to remove an 18 cubic inch area of soil and replace it with fresh soil. A newly planted rose doesn’t like to grow in the same soil that an older rose bush has been in. Picky darn thing isn’t it!
Step-by-Step Rose Planting:
Here are the basics:

1) Dig a hole, slightly larger than the pot size or root system of your
    rose bush.
2) Add a small handful of bonemeal to the planting hole. Spade in
    some compost or peatmoss to loosen the soil. Mix the soil you
    took out of the hole with more compost or peat moss.
3) Remove the rose from the pot. Carefully place in the hole and
    shovel the extra soil around the new plant. Plant the rose with
    the crown slightly deeper than the original soil. The crown or bud
    union should be about 1 inch under the soil
4) Gently firm the rose into its new home and water well.
5) Stand back and watch it grow!
     Important note!! NEVER fertilize a new rose bush with anything
     other than bonemeal.
Planting Your Rose Bush:
A little more detail:
     If you have received bare-root bushes from a mail order nursery or have some healed in from winter storage you may want to soak them in a bucket of water for a few hours before planting. If you have purchased your roses in containers, you do not have to pre-soak them before planting.
     Dig a hole large enough for the root mass and loosen the bottom of the hole. Depending on your soil type, you may want to spade some compost into the hole along with a sprinkle of bone meal. Bone meal is a slow acting source of Phosphorus and promotes healthy root growth. I like to mix the soil from the hole with some additional compost and another light sprinkle of bone meal.
     Place the rose in the hole spreading the roots slightly. I plant mine with the bud union (crown) slightly below the soil level (about 1-2 inches after a couple years of mulching). Refill the hole and make sure the soil settles around the roots of your plant, then finish filling the hole. Just before putting the final couple inches of soil over the roots, water your new plant and let it drain before the final topping. I do a little dance around each of my new roses, just to firm the soil lightly and also because it’s fun. Nothing thrills me more than seeing a newly planted rose bush. Ohhh the excitement of what’s to come!
Planting Depth Of Roses:
     Rose growers will argue until they’re blue in the face about the correct planting depth for roses, but it really depends on the climate you live in. If you live in a colder area, plant a bit deeper and consult with the people growing roses in your area. If you’re buying own-root type roses, you should plant them about 1 inch deeper than their potted level. Again, this varies according to climate. I’m told that sun on the crown of ageing roses will help promote basal breaks from the bud union. I wonder if any significant studies have been done on this issue. Some of my roses produce wonderful basal breaks from well below the soil level, others do not. It seems to reflect more on the variety of the rose than anything else.