Which came first - the black spots or the yellowing of the leaves? If the black spots appeared, then affected leaves turn yellow and drop off, that is the natural history of this particular fungal infection. If that's the case, get rid of all the diseased leaves - throw them away in the garbage can and keep the ground as clean as possible. Prune the weak canes, but leave the thicker canes, even if they are leafless, alone. Blackspot needs moist condition and warm temperatures to spread - once the days of cooler temperatures arrive, there is likely still time new foliage to emerge in your area (not in our zone - it's too late, but we wait in anticipation for the spring).
If the leaves turned yellow before the black spots appeared, or if there are yellow leaves without black spots, then you will need to investigate for other problems - poor drainage, overwatering, poor nutrition.
Did your rose come as a potted rose or a bareroot? I would guess it was potted. Those poor roses inn the W marts have to put up with small containers, and by this time would have been totally root bound. In addition, if the W Marts in our town is anything to judge by, they do not take care of the roses well - they are not fertilised. So, by now, they are weak and unhealthy presentatives of their kind. But all is not lost. Given tender loving care and the right type of conditions, you can still salvage your rose. What it needs to do is to putt down a good root system, that will support good top growth.
Healthy roses are definitely more disease resistant than less than healthy ones. So, give it the sunniest spot you can find - it needs 6 or more hours of sun to thrive. Ammend the soil well - lots of organics will help retain moisture, keep the soil microbes happy and abundant, help aeration and retent soil nutrients. Fertilise as recommended for your local soil - your local nursery (not Walmart!) should be able to give you good guidelines. Provide constant moisture, do not allow to dry out, but don't over water. Do mulch - it keeps the weeds at bay and retains moisture. It's not necessary for special winter protection if your winter temperature is not going to go below freezing.