With roses, you can either air-dry or use dessicants. The simplest way to air-dry is to hang the flowers upside down by the stems somewhere fairly warm, fairly dark, and not too humid. An attic or closet will work. I have a book by an English woman who dries flowers over her on-all-day Aga; I'd be worried about humidity doing that, but it seems to work fine for her.

Roses can shrink quite a bit when they dry this way, and colors will tend to darken -- orange to red, bright red to deep red, red to purple and so on -- and some will work much better than others. There are a lot of flowers that air-dry very well, including just about all the traditional "everlastings" and, oddly enough, peonies, but there are many that don't do well at all -- most daisy-type flowers and most fleshy things like lilies.

I'm providing a link to a site that tells how to dry using dessicants. It's not a method I use, so I can't give personal insights.

Some people have success by simply putting roses in a vase with a small amount of water; the idea is for the plant to dry before the petals fall off. I've done thisn with a few types of flowers (hydrangeas, mainly), but I don't have personal experience drying roses this way.

Here is a link that might be useful: Drying Flowers

Neil gave you very good advice. There are some flowers that will dry without any help. These are Baby's Breath, Achillea's, Ageratum, Bells of Ireland, Celosia, Pearly Everlasting, Hydrangea, and the various Statice's and a number of others. Most of these you can just hang and they will dry. This includes roses. Some will loose their shapes and may change color but at least you will have them for keeping. Also, as Neil stated: leaving them in a vase with just a little water (by this I mean just enough to cover the bottom one inch or so of their stems), let the water evaporate and your flowers will be dry. Good Luck and have some fun!