Powdery mildew, like most of the diseases that infect plants, is caused by a fungus, or rather a large group of related fungi in the order Erysiphales. It unsightly but completely harmless.
What should you do about powdery mildew? Absolutely nothing. It is a cosmetic problem and will not harm your plants. To prevent it or reduce the incidence, you can use some commonsense horticultural practices, such as preventing overcrowding or watering in the morning only. If you feel you must treat it, a mild spray of milk, diluted 1:10 with water, has been shown to be effective. But remember that almost everything you do in the garden may have unintended consequences, such as changing the pH of the soil or killing butterfly eggs.