Anytime after solidly dormant... here in the western U.S., that's from mid November to maybe March. However, we have to move it before the ground freezes. I've also had some success with digging the plant up when very dormant, shaking the excess dirt off the rootball and simply storing it in a dry, cool, dark place until ready to plant in the spring. Then, as other have suggested, dig a largish hole, line with peat moss, back fill with soil after placing the rose and tamp firmly to eliminate air pockets. Water thoroughly and often... but not enough to cause standing water. Feed with a single rose fetilizer peg (pushes into the ground) followed by a second a few months into the season.
Here, we have to cover the roses during winters... primarily to prevent sunscald and drying due to harsh winds...