More than likely it's probably powdery mildew.
Hard to say for sure w/o a photo but that's probably what it is.
Go to HD or Lowes or any good nursery and look for a rose fungicide that will treat Powdery Mildew. Some come already mixed and you just spray them on. Others come as a concentrate and you have to dilute with water, then apply.
If you want to go the organic route, there are concoctions you can make that work just as well using household ingredients.
I have a recipe for one. I'll find it and post it for you.
