What others said, it is brake dust. Use a good wheel cleaner, iron fallout remover and when they are shiny again put them in a (wheel) sealant — 3-6 months durability.
Then you just use normal good car shampoo to easily wash any future brake dust away.
I use a fallout remover only twice a year when i change summer/winter wheels. As sealant i can recommend Finish Kare 1000P Hi-Temp paste wax. It is actually a sealant and can be used on paint, alloys and exhaust tips. I use it on the alloys and in the winter also on the paint because of the durability of 6 months, the almost self cleaning abilities and the stunning shine.
http://www.seriousperformance.co.uk/Products,52,toView_402.htmlNo, i don't have stocks in them, but like to help the Britisch economy, haha. Joking, it is not available in the Netherlands, but i like it very much and Alex is a nice guy. For under £20 you have enough for doing your whole car for years and years.