You want to plant your rose deep. In your zone that will add protection from winter. The knotty part at the bottom (called the graft) where all the canes come out of should be about 4 inches below the soil level. Try to disturb the existing root ball as little as possible.

Any yellowing leaves can be removed. They are dead and will no longer feed the plant and will eventually fall off on their own anyway.

After you have it planted keep it well watered but not soggy wet. Roses do not like to have their roots sitting in water. Do not fertilize it until you see some new growth starting. Then you can go ahead and fertilize it with any well balanced fertilizer. Read and follow all directions carefully.

It should grow and bloom beautifully for you until late fall. Stop giving it any fertilizer by August and stop dead heading the spent blooms in September so the rose can begin to go dormant for winter. Once you have had a couple of good hard frosts you can go ahead and mulch it heavily for winter. You can use any type of mulch, leaves or even soil to build a mound around the base a good 6 or 8 inches high. You can make cages or use cut off empty milk jugs to hold the mulch around the rose if you like. If you get a lot of snow that's a good thing. It's the best winter protection there is. So don't be afraid to pile it one when you shovel, lol. In the spring probably most of the canes above the snow line will have to be pruned off. Wait until you see it just starting to leaf out and prune off anything that looks dead. Give it a spring fertilizing and watch it take off and bloom again!

These are pretty simplified instruction but if you want more do some searching on here and you'll find TONS of info. I hope your rose grows and blooms beautifully for you. Enjoy!