Remove infected leaves (either on the plant or on the soil or mulch below it).

Remove leaves from the lower nine inches or so of the plant (even ones that are not infected). When watering, try to avoid splashing water back up onto the undersides of the leaves.

There are a number of treatments that can be sprayed onto the plant, ranging from the relatively benign Cornell baking soda/horticultural oil/water mixture to stronger products, including Daconil and lime-sulfur. Keep in mind when doing so to spray both sides of the leaf surfaces, especially the undersides.

An ounce of prevention is worth a pound of cure. Good air circulation is a must. When the leaves get wet, you want them to dry off. If your roses are planted too closely together, the foliage towards the inside of the clump will show signs of blackspot first. Pruning that area in such a way that air can better circulate will help reduce an infestation.