Do it in the first week of March. If the weather is still cold wait for another week but not later.

If it's tall and sways in the wind it may be a good idea to chop it before the frosts as the swaying creates a gap in the soil that can freeze, You can prune it properly in Spring as Cosakis says. If during the summer you find that the stems are too close, thin out some of those that have flowered. Frankly it's not that simple as there are different roses and different ways. I'd get myself a good book on the subject. You often see them at boot sales.