Now. Roses are blooming in April.
I'm going to order another rose...sigh....

You can plant them anytime the ground isn't frozen. But I'd say now is better than May. The warmer it is, the more stress on the plant. If you plant it now, it has a chance to establish itself a bit before the real hot weather strikes. Just make sure to not only water it well, but if it's very hot and sunny, mist the canes now and then to keep them from drying out. Newly planted roses don't have the root capacity to keep themselves hydrated if it's very hot.