Answer: Sometimes in the earliest stages you can rinse it off with water from the garden hose. Try to increase air circulation around the plant (be sure it is thinned correctly as well) and avoid wetting the leaves when you water.
If it recurs, you may need to use a fungicide to control it. The ARS (American Rose Society) web site suggests the following applied preventively every 7 to 10 days seems to control mildew and blackspot on roses:
either sodium or potassium bicarbonate at 3 teaspoons per gallon of water, combined with Sunspray (horticultural oil) at 2 tablespoons per gallon of water. They also caution: "do not attempt higher concentrations of the solutions, as leaf burn may result. Rain or overhead watering may wash the solution off, reducing its effect."
Another option would be to switch to a rose with specific mildew resistance.
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