You can deadhead roses either of two ways: either just snap off the dead flower just below the bloom, or cut the whole branch back as you were instructed by the person at the garden center. A couple of years ago somebody did a study and found that most roses rebloom just fine with either method. The snapping method results in slightly faster rebloom, while the more drastic method (if done right) results in a neater bush.

I tend to do both, depending on how much time I have. I have about 75 roses so deadheading is a daily chore around here. (In my part of the world, roses bloom year round.) The snapping method is easy to do when I'm playing fetch with the dogs, but the other method is a bit faster overall.

Pruning is not the same as deadheading and is done once a year. The "when" is totally dependent on climate, so follow your garden center's advice.