Looks like rust to me. Rose Clear is the usual treatment.

Thanks owdboggy. Do I spray effected leaves then?

Looks like leaf miner or scorch to me. Whether you are keen or not, you really need to spray your roses when dormant and then throughout the season by way of protection before the black spot and pests arrive. As OB says, Rose Clear will do the job.

Those tiny white dots on the leaves looks like white fly damage to me. Check the undersides of the leaves for the culprit. I never could successfully control the whitefly on my roses so I gave up on growing them.