Rust spores like cool, moist weather and poor drainage. There are two kinds of rust, ordinary and systemic rust. The latter lives from year to year on the plant and is the most difficult to get rid of. This one has to be treated before the rose leafs out. Roses vary in their ability to shake off this disease. Some tolerate a lot of rust before they drop their leaves while other drop a leaf with a few spots on it.
Using a dormant lime sulphur spray twice a month in the early spring and then using a fungicide weekly until there is no evidence of disease, is one of the best ways to cure rust. For now just keep spraying as the problem will go away when the warm weather comes.