Rose seeds need to go through stratification (an artificial cold spell) for 10 to 12 weeks before they will sprout. This, combined with a germination success rate of 20-30% makes propagation by seed an unattractive prospect. on by seed an unattractive prospect. If you still want to try it, find a good source of information that will guide you through the process.
The Baggie Method: This was the first method I ever tried. Here you fill 2-inch plastic pots with potting soil, insert the rose stem halfway inside the pot, then put the pots into a one-gallon plastic zip-lock bag. You can get four 2-inch pots into each gallon bag. I didn't like this method because it caused many of the cuttings to rot since the bags tended to fold over and therefore prevented the air from circulating. The success rate of this method is not very good. It may be helpful to place a couple of small sticks inside the bag to help keep it upright and full of air.
Cover the cutting loosely, pot and all, with a plastic bag or plastic wrap and keep the soil moist. Putting a tall stake into the pot will hold the plastic away from the leaves. If the plastic touches the leaves, they remain wet and can succumb to a fungus disease. Along the same lines, make sure the condensation can escape from the plastic or the stem will rot. 
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