Hi Kabey,
With no disrespect to Greenfingers, I don't totally agree about pruning a rose hard at this time of the year unless you live in a place where the temps don't freeze. If you do that and get an early freeze then you risk damage to the canes. Best to prune hard in late winter - February.
I also think you should throw away the prunings when you do prune next year. I do agree with Greenfingers that you have powdery mildew which is a fungus. Most of the time it won't kill your plants, but does look unsightly. Here's a site where you can make your own sprays and they are environmentally friendly.
http://www.dirtdoctor.com/view_question.php?id=204