If you're talking about softwood cuttings the following is from gardenseeker.com.

Many roses can be propagated by softwood tip cuttings - around 6in long - in early summer and placed in a pot with a plastic bag or even a plastic bottle with bottom cut out, to prevent moisture loss. remove the flower bud, or better still, select a stem that has not yet made a flower bud. Treatment with a fungicide will help to prevent disease from setting in at this point. The pot with the rose cutting should be placed in a cool greenhouse or other sheltered spot. As soon as the rose cutting starts to grow new leaves - usually a sign of rooting, then gradually take the cover off and grow the plant on as a normal potted shrub until well established.

You can also cut a healthy stem of this years growth about 12" tall,in early autumn..and push into the soil.in a shaded area,maybe by a wall.I did 3 this way,and although you need to have patience,as it will take a while to make roots,it is well worth it.I left mine 2 years before planting them in a permanent position.I may try the way,Wagger suggests too,as this also seems a good idea.

I agree with Bloomer about 'hardwood' cuttings. They are much easier but you need more patience. There's information about this on the same website page.