It sounds like your lawn has Rust. This is a fungal disease that turns the grass orange/yellow and develops an orange powder that covers the grass that rubs off on shoes, etc.
It's a fairly common disease of Kentucky blue grass, tall fescue, and ryegrass. It is active during moist, warm weather, especially during periods of heavy dew. Grass that's stressed from lack of moisture or nitrogen are most commonly threatened. The best way to treat is to give your lawn an application of high nitrogen turf fertilizer to speed growth and to remove all clippings when you mow till the disease has passed. If the disease doesn't clear up, you should probably use a lawn fungicide following label directions.