Well, don't for goodness sake prune away ANYTHING, other than those dead canes.

Eric, you don't say where you are. Do you know what climate zone you are in? (Some roses handle cold better than others) But I'm guessing that these roses were all budded -- budded onto rootstock. Right? Well, the cold snap darned near killed off the scion (the rose you bought) and what's left doesn't look good.

You want advice from someone in a climate closer to your own -- but I think, were it me, I would dig these poor babies up and replace them with new healthy plants.

I know that's probably not what you wanted to hear -- but a very smart gardener told me long ago "Look, sometimes plants die. Don't worry about it. Get a new one, and move on." I have taken that to heart. :-)

Another thought, the grass clumps are stealing water away from the roses. I would remove them and put a good cover of mulch around the roses to protect them from further weeds and to keep the hot sun off the roots, which will make the water you give them last longer, and the plant will be less stressed.

If you want to save your roses, then I would follow Ingrid's advice to mulch them. If you live in a colder area, then I would also suggest some winter protection. There are several ways to do it and the simplest one, which I practice in my zone 5/6, is to mound mulch over the base (the graft in your case) about 1 -2 ft high. I do not remove it until some time in April even if the earlier months are warmer than usual to avoid damage caused by later cold spells (as it happened in your case) and wide oscillations in weather conditions. And I would also periodically fertilize them to give a slight boost and vigor. Good luck!

'red leaves and stems which signals diseased'

99.9% of the time this is NOT true. I hope you don't remove every 'red leaf and stem' you come across..