Certified GKH Gardening Expert
According to our master rosarian, if it is an older climbing rosebush, do not prune it much at all. Older climbers bloom on the "old wood" or the previous years growth. Thus pruning too much will sacrifice new blooms come spring. So prune lightly if at all.
He suggests waiting until spring and letting the rosebush tell you where to prune. Once the leaves first start to come out on the canes you will be able to see what is live cane and what has died over winter; the dead portions can then be removed without sacrificing any blooms be it older climber or newer climber.
The main concern is to have it tied up well and supported against winter wind whipping damage. For some added cane protection, you can wrap the groups of canes with some burlap as it will allow air movement through it so that it dries out when wet and yet still provides a layer of protection to the outer canes material.
Also keep an eye on the moisture level and water when needed.