Same thing happened to me right after I installed new brake rotors on my car. Mine originally came with cross-drilled rotors, so I went with the same (Zimmerman, Made in Germany). Less than 1 week later, they looked like yours. So I ended up doing what most said above....removed/sanded the rust down, used a high-temp primer (Rustoleum Auto Primer), then a high-temp enamel (Rustoleum 500 Degree F enamel in cast coat aluminum), then a high-temp clearcoat (can't remember what I used because I threw the can away, but it was a similar Rustoleum product).
Didn't feel like removing the caliper again, so it was tougher to paint around. Plus I also wanted to get in the cross drills too, because they were showing rust too. I did get some paint on the brake surface, but it wasn't too much, and a quick drive and some braking wiped the surface clean.
Pics show the before, after sanding, primer painting, final painting, and then the wheel months later after removing it (yeah, it still rusted a little bit where the wheel meets the rotor hat, but overall, it still looks great.
Cintoman