Choose the pod -- or female -- flower that will produce the seed pod. Remove the petals. Identify the fringe of yellow pollen-producing structures called stamens that surround the central style. Cut the stamens off with small scissors so they will not accidentally pollinate that flower and so that the pollen will be available for planned pollination of other flowers.
There will be disappointments along the way, when many rose seeds fail to germinate, or perhaps they do germinate, only to die several weeks later from damp-off disease. Sometimes a rose seedling will turn out to be as ugly as sin, or very sickly, and you will reluctantly have to throw it away. Other times they will be just ho-hum, or look too much like its parent, and therefore have no value. But, just when you don't expect it, you might discover that one of your rose seedlings turns out to be very special.