I'm not an expert, but it looks to me like it needs to be repoted in a proper pot, proper soil. Is it one of those roses sold as giftable roses? Is it in a pot in another pot? I'd say repot it. If it's one of the "gift" roses, there is a great thread here about how to repot it.

Here's the thread I mentioned above:

Here is a link that might be useful: repotting a rose

Yes, I'd say it needs a bigger pot with better drainage. If that ceramic pot doesn't have holes for drainage then the rose is sitting in water. Roses hate to have soggy wet feet. Get it into a big pot with lots of drainage holes and good potting soil and it will do much better. Oh, and full sun is exactly the right place. Roses love sun!

looks sunburned to me; if you have it in a window, make sure there is a 'sheer' curtain hanging there, or blinds tilted a little, or move it back so it gets indirect light. The little roses can take sun, but a move from indoors/grocery store to blasing window all at once is not a recipe for success. I hope this helps!