That depends on how you buy it. If you buy a potted rosebush, just dig a hole the same size as the container. Remove the root ball from the pot and place it in the hole. Water well.
Rosebushes are also sold as bare root plants meaning you get the plant without a container. The roots are bare. Soak the roots for 12 hours before planting. They dry out when they are not in soil. Dig a hole that is large enough to accomodate the entire root system. Then shovel some soil back forming a mound in the middle of the hole. Spread the roots over the mound. This will support them as you fill in the hole. When the hole is half filled, give it a good watering. Finish filling the hole and water again.