I had that last year (and will likely get it again this year...it's quite common). Now, I did nothing because my zucchini and squash plants grew like they had some kind of monster gene and kept growing and producing fruits like there was no tomorrow. So I just didn't worry about it. It never spread to my other veggie plants, although I had tomatoes right next to them and apparently tomatoes can get powdery mildew too.

And, like loveislikewoe, I've read at least one source, somewhere or other on the internet, that this is not a bad option. I've also read that 1 teaspoon of baking soda in a quart of water with a few drops of liquid soap (last year for a totally different recipe but still pest management - for my basil - I used Dr Bonner's castile soap, no idea if it matters), sprayed on the leaves - both sides!- works.