That's winter-related injury. Rhododendrons are sometimes subject to sunscald during winter. This is most likely to happen if the plant did not receive enough moisture before freezing in fall. The exposed portions of the leaf (usually the central exposed portion when the leaf was curled as they do in cold weather) may become brown - may also appear on the edges of some leaves.

Prevention - water well before ground freezes, mulch to conserve moisture, protect from drying winds, provide some shade or artificial mean of protection against winter sun.

Mosrz, You are right about me not watering before we got our winter freeze. I will make sure it gets water before it freezes this winter and also to cover it...

Thank you