I plant mine in the spring after there is no more danger of frost.
I plant in the fall and in the spring after danger of frost is gone.
Here is an article, it recommends early Spring: https://garden.lovetoknow.com/wiki/When_Is_the_Best_Time_to_Plant_Roses
If your rose is bare root and dormant, plant in Feb or March. Make sure you have pilled up mulch or pine straw to cover the canes. Keep watered. Remove some of the mulch when you see new growth coming through the mulch. If your new rose has leaves, then you'll want to wait until there is no more frost to plant it, about May. Planting in Sept. is good as this will give the plant to get a good start on its roots before winter and freezing weather. Good idea to mound up mulch over the graft so it will withstand the winter. Don't forget to keep your roses watered even in the winter. Wind is very drying on the canes.