The only thing that will truly get all the dust (or atleast the majority) would be a nice bath. Just rinse off your horse, fill a bucket with water and some shampoo, scrub away, rinse, and then let your horse dry. Make sure you put your horse in a stall while he/she dries unless you went him to roll and become dirtier than he was to begin with.
There are also products that kind of hide the dust for last minute cleanings. Showsheen is good right before shows or a photoshoot, but only use it occasionally because it contains silicone which can dry out the horses coat. I also use Pepi for extreme shine before shows. For everyday use I use Healthy Haircare Hair Moisturizer. It hides the dust quite well and also conditions the coat at the same time.