If you mean wrapping the trunks, you use “tree wrap’, a wrinkled papery material around the trunks fro the ground up to the first branches. This protects the bark from mice, voles and rabbits which will chew the bark. This is commonly done on young fruit trees and Japanese Maples that are attractive to the critters.
If you mean using burlap to protect them from drying wind them you’ll pound wood stakes around the tree as high as the foliage and attach the burlap to the stakes with a staple gun. 3 or 5 stakes is usually enough for one tree. DO NOT cover the top or the weight of the snow may crush the tree. Snow is a great insulator and protects the trees from drying oy in the dry winter win