One thing to think about is aesthetics if the trellis will show. The other is an issue of permanence, because once the rose attaches to it and climbs you will want the structure beneath it to last. Wrought iron, powder coated metal, cedar or water proofed wood are a few materials,. I have a brick house and used cattle panel (with 4" squares, 4 x 8 foot width/length) as a trellis for pyracantha. At the top of the brick wall and beneath the eave was a wood 1x4" trim piece that ran the length of the wall that I could attach it to. To that trim I attached a 2 x 4 board to create thickness/space between the wall and the trellis. A three or four inch gap works well. The bottom of the panel was buried in about 6 inches of soil.
It is probably a good idea to make sure you always attach your roses to the front of the trellis rather than have them weave in and out because if you ever want to do maintenance or repaint your exterior wall, all you'd need to do is lean the trellis down and out of the way without disturbing the roses, or untie them from the trellis and lay them down away from the wall until the work is completed.
Also, when thinking about materials to use, consider that metal can heat up and burn leaves and vines. So protective coating on metal is better than raw metal.

If you don't want to go up to the eaves then you probably want to drill into the masonite wall. It will help support the weight of the plant and give stability over the long haul.
An alternative strategy for around the windows would be to use an arbor U-shaped trellis rather than using a flat piece against the wall and then use flat ones everywhere else. I did a quick drawing of what I mean:

What I like about this is that it creates a nice dimensional effect or portal around the window.

However you go about it, I think the most important thing is to think long term and go the extra mile to create a stable and long-lived infrastructure for your roses..

Thank you. I really like the idea of the cattle panels. They'll be sturdy, but flexible in terms of exterior maintenance, as you said. I assume I wouldn't need to coat the wire on the cattle panel? This side of the house faces East.

Unfortunately, I cannot do the arbor as I have a sidewalk that runs along this side of the house and the arbor would block the path.

The metal ought to be okay on the east side if it just gets morning sun. Mine is on the northeast side and seems to be just fine. Best of luck with it! Hope you'll post some pics when you have something up.

Thanks! Will do. :)

I'd be real nervous about having anything growing that close to Masonite siding. That stuff's glorified cardboard and having the rose there will make it all the more likely to rot. I speak from experience...

By the way, just wanted to mention something I discovered regarding unique reuse materials for a trellis. The old box spring beds (just the metal springs part) make great arbors and trellises. Visit your local dump today! : ^ )

BJB - I'm hoping that placing the 2x4 between the house and the cattle panel will allow for sufficient air circulation, both for the rose and the Masonite.

Mrs. Wiggley - Our HOA is pretty lax, but I'm pretty sure a box spring against the side of the house would be a no, no. LOL. I appreciate the creative thinking and re-use, though. :)

LOL - HOA's just have no respect for individuality, nor any style or humor!

That's the truth! :)