Are they bare root?

No, they were rooted bands, or maybe a bit larger than that, like in quart pots.

Start by soaking them in water. They will have dried out a bit from their trip. Examine to see how rootbound they are in the band pots. If they are rootbound at all, repot into larger pots with good potting soil. After they have recovered from that, a couple of days, start putting them out when it is over freezing, and bringing them in when it is going to be below around 28. If the weather doesn't cooperate, and they have to stay in for a few days, that's fine.

Dormant ones can go into the garage until they start leafing out.

I think Mad is right. Putting them in a one gallon pots with rose planting mix will give them a starting boost, by the time you do your definitive planting in a month, and won't be too much work. If they were bare root larger plants it would have been more difficult to pot and maybe would have been better to try to keep dormant.

Leave them in their contains just as they came. Repotting them now is too much of a shock for them if they will not be actively growing after the repotting.

Trying to grow them inside at a sunny window or under lights will weaken them, believe me. The only case where you would get good, sturdy, but slow continued growth would be if they were placed in a cool greenhouse.

If a greenhouse is not an option, put them in a spot (garage, shed, cold room, etc.), where the temperature goes no higher than 40 degrees F., but above freezing, 32 F. It can be in total darkness. The roses as they are now will then drift into a state of suspended growth, and surprisingly, do not need light. Keep the soil from drying out, but not soaking wet. Did not stand the pots in water.

When the temperatures of the days outside begin to rise to the upper 50's they can be placed outside in full sun, and brought in on nights/days when it dips to freezing or lower.

When after all danger of frost is past they can be repotted at that time, or put directly into the garden. Watch for pot boundness. Loosen the bound roots before planting in ground or potting up.

Don't beat yourself up for not giving the sender a delivery date. It's not entirely your fault. Any responsible mail order nursery should know by your mailing address that now is not the proper shipping time, especially for actively growing roses. They could easily have contacted you to determine the shipping date you desired. Even if at the time you placed your order you gave the nursery instructions for an immediate shipping date, they should have verified that date before shipping the roses, knowing your mailing address, which indicates your hardiness zone. Conscientious customer service is the sign of a superior business.