It sounds like your lawn has Rust. This is a fungal disease that turns the grass orange or yellow. It develops an orange powder that covers the grass and 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 is stressed from lack of moisture or nitrogen is most commonly threatened. The best way to treat is to give your lawn an application of high-nitrogen turf fertilizer to speed growth, and remove all clippings when you mow until the disease has passed. If the disease doesn't clear up, you should use a lawn fungicide, following label directions.