Remove the rust! Paint won't do much good on top of rust, and it won't last either. There are some chemicals you can spray on rusted surfaces, but I think sanding is generally best.
I just tackled this project with my car. For small areas, sandpaper will work for removing rust. For larger areas (which I had), a flap wheel sander with a cordless drill was sufficient for removing the paint and rusted metal. If you have complex concave shapes with rust that are hard to get at, you may have to borrow a needle gun scaler.
When you have a clear bare metal surface, put on primer first. In my case, the suggestion was 3 coats of primer 15 minutes apart, and then paint an hour after the last coat. That's the point where you use the matched color paint from the dealer.
Sanding the primer with a smooth grit may be necessary in between the last primer stage and painting. Many auto parts places can order paint that matches your car based upon a code that's on the information label in the door (at least in the US).
See also: Removing rust / prepping for repainting