I can't address your winter preparation issues, but a rose bloom forms hips when it has been successfully fertilized. They have the potential to form hips at any time of year after blooming. Forming hips by itself doesn't mean anything.

If it is in the ground, no winter protection is needed. Some modern roses will set hips if not deadheaded, others will not. Our blooming time is getting short. If the weather stays mild, and you deadhead and cut off the hips, you might get another bloom cycle, but don't be disappointed if you don't.

I agree with Diane. If it's planted in the ground you don't need to do anything to winterize it. If you'd like you can put some mulch around the base but not right up against the wood. Otherwise just let it be. You don't list a zone but in NYC your roses should be starting to wind down now anyway as the temps get cooler and the daylight hours shorter. You may still get a few blooms but the season is pretty much done in most of the colder zones from 6 down.

As for the hips, they just formed because you didn't take off the spent blooms. If you did that with the early spring blooms by now those hips should be turning yellow or red as they ripen. The seeds inside the ripe hips can be removed and grown but they will not be the same rose. Each one will be a new variety of rose.

Sometimes not dead heading and leaving all those hips on will slow down the amount of repeat a rose will have. So if you want your rose to bloom more just cut off the spent blooms through out the season so the plant will not form hips but will put out new growth and blooms instead.