It should be ok to plant it, it's evergreen (frost shouldn't hurt it) and hardy up to zone 4. If you're having heavy ice storms or something that will break the foliage, then maybe hold off, but for rain/frost, it should be good to go. I'm going to be adding some Helleborous to my plot as well. Generally gardening websites wont ship items until it's time to plant them in the location they are being shipped to.

As Phaewryn points out, mail order nurseries normally provide planting instructions and, considering how expensive Hellebore/Lenten rose plants generally are, it's probably a good idea to check those or else contact the nursery and ask for some help/advice.

The instruction to 'plant immediately' may be a generic recommendation so the plant doesn't dry out in it's very small pot in very dry growing medium.

I have a number of Hellebore cultivars that I ordered from an online nursery but I purposely chose to order them late in the season so the plants could be set in the garden when temperatures were cooling.

If you have potting soil available, transplanting to a gallon pot would at least give your plant slightly better growing conditions while you wait to decide when to plant out. Indoors on your window sill is NOT a good idea. Hellebores are very tolerant of cold weather and shouldn't be inside where the temperature is too warm and the air is too dry.

Good luck and be patient--Lenten roses take some time to get established but they're well worth the wait. All mine--purchased via mail order in 2011--are currently in bloom. I don't have Pink Lady; the cultivars I grow are Cinnamon Snow, Regal Ruffles & Sandra.

Thank you! I'm going to plant her today.