I would pot it up in a nice large pot and keep it well watered and fertilized. You can over-winter it in your unheated garage and plant it next spring, or keep it as a potted rose. I've found that my more tender roses tend to prefer this approach. Another option would be to plant it but mound the canes with mulch. Since it is a bare root, you need to keep the canes well hydrated until the new feeder roots develop - whether it is in a pot or in the ground. Otherwise you risk dehydration, which can kill the rose. After 4 or 5 weeks, the rose will send out new growth and you can gradually (and carefully!) remove the mulch. I've been able to successfully establish a late-planted potted bareroot rose by wrapping the canes in a layer of burlap, and keeping the burlap moistened daily, since it is more difficult to keep mulch mounded on the canes of a potted rose. You can also make a collar of cardboard or plastic to hold the mulch in place in the pot (sort of like a dessert souffle!). What do you other folks think?

I would go ahead and plant it now. Soak it for a couple days...completely covered with water. Then plant it. Mound the canes with dirt mixed with mulch, spray every day. Using a collar (like the kind you would use in winter protection) is what I also use. Once you start to see growth peak out of the mulch you can put a laundry basket over it to shade it from hot sun. Uncover it in the evening, then replace it during the hot afternoon sun. just be sure to sprinkle with water daily. I've done this successfully in hot July when there are bare root sales. I've only lost a couple...but those were lost because I failed to cover it completely.
What rose is it?

I have planted bare root leafing out roses in zone 5. They have done as well as any other, depending on age, root stock, etc. It's only MAY! ( :

I think I'll put it in a pot. I just don't have time to coddle it and that way I can move it to a shady spot if need be. It's getting hot here now, 85 or higher some days. The rose is Fragrant Cloud. I don't understand why to soak the whole thing?? Even the leaves?

By soaking the whole thing you would be sure to hydrate the canes. I usually remove the leafs if I'm going to bury the whole thing. If you don't have time to coddle it, then potting it is probably the best solution. I would then plant it in the fall.

Flower girl,
I'm in hot windy Wichita, and I'm still planting bare root roses. The last few years I was planting as late as the end of June. They all made it just fine, and I don't have time to water daily! Just make sure you have good soil, and that it drains well, and maybe do like others suggest and put a laundry basket over it for the first few days so it gets a little shade. I would not suggest planting in the fall. I've lost just about every rose I planted in fall, and I have over 250 roses.
Oh, when I soak, sometimes I dribble a few drops of Superthrive in the water as a blessing. That and alfalfa tea seem to help.