Planting a Climbing Rose needs a bit of attention with regards to the suitability of the soil in the long term and also the supports that will be required to successfully grow your climbing rose for many years.
If planted at the base of a wall, then the soil will invariably be dry for much of the time. This will be due to the brickwork soaking up moisture, and also because of overhanging gutter ring and eaves preventing rain reaching the base of the wall.
Much of the planting will be the same as in how to plant a rose bush, but they will need added humus - such as compost or peat at the time of planting, and also as regular annual mulches to help conserve soil moisture.
Be particularly careful about digging the hole near a wall, and ensure that there are no electric cables, water pipes and or gas mains in the vicinity. These are rarely buried to the correct depth! Dig the planting hole to allow for the rose to be planted about 18in (45cm) away from the wall and then sloped into the wall ready to be fastened to pre-prepared ties. If the size of the rose does not allow for it to reach the wall at planting time, no need to worry, it can be fastened as soon as the shoots appear in the spring after planting.
It will probably be a good idea to prepare your wall fastenings - either trellis slats, horizontal wires or whatever before planting the climbing rose. Otherwise, once the spring arrives, there will be many other tasks to attend to, and in any event it would be better not to trample the soil around the rose. Compaction of the soil will not help.
Make sure that you have enough room on your wall or fence, for the climbing rose to grow. Some varieties can have a spread of 10feet or so! If you are also wishing to allow your rose to gain a bit of height, then this should also be taken into account with the wall fastenings - on a bare wall before the rose gets to that height!