Could you put the contents of the bag, plus some extra, slightly damp potting compost into a large plant pot and sort of "heel in" your lovely new rose until the ground is thawed enough? An unheated greenhouse should be fine, I would have thought.

I note you are in Kent, where it can be very cold indeed. I'd go out with my fork and spade, clear snow from where you want to plant, and then penetrate the soil to see if its actually frozen or not. The presence of snow does not mean the ground is frozen - cold, but not necessarily frozen. If its not frozen, plant it. If it is frozen, keep it in its bag somewhere very cool - your greenhouse should be fine, provided it doesn't get warm, but not longer than a week at the outside.
The other option is to use a large pot if you have one - fill it with compost, plant the rose in it temporarily, and transfer to the ground when you are able to.

Thank you both for your quick response. The snow is thawing quite quickly now but the ground is still hard. I have a large pot and a bag of compost right by the back door so I will take that option. Should I leave it outside or place the pot plus rose into the greenhouse?

Is it a terracotta pot?

As I have moved mine in Nov to my greenhouse mind you I am in Scotland and last winter I lost many terrcotta pots to the winter.

Maybe I am being over protective.

It's a plastic pot, Scotkat. If it needs to stay outdoors I have a sheltered spot I can put it.

I'd leave it outside, in a sheltered place, against a wall. Hardy as old boots, roses...

I have just gone outside only to find the bag of compost is frozen solid and stuck to the shed door! I have put the rose still in its bag into the greenhouse and a note by the back door to remind me it's there! Maybe things will be better tomorrow - there is definitely a thaw going on. Thanks for all your help :)

Sounds like a wise move in the circumstances - the last thing you want is the roots freezing.