A little rust on the chain, cassette and other drivetrain parts is not of concern, really. It's light surface rust and if you're riding your bicycle, and wiping moisture off it after rides, especially in salted snow, it is fine. Keep your chain oiled--salted snow will make your drivetrain crusty within an hour or two, so you can carry oil with you on rides--and your chain will transfer a little oil to your cassette, as well as knock off rust with normal shifting.
Remember, rust, if dry, is usually fairly benign (rust inside your frame can be dangerous, because it's damp in there and damp is bad for untreated steel). Rust is just iron oxide, a chemical compound formed through exposure to oxygen in the atmosphere. A layer of oxide on the surface of steel--normal red rust--is actually helpful in some ways, in that it creates a barrier through which fresh oxygen cannot penetrate, protecting the non-oxidized steel below. Think of an old tractor or truck; often it will have chipped or scraped off paint patches. A thin patina of stabilized rust--a layer of oxide--will form in those places. The steel there is being dried often, so it is not of concern, just as it's not a problem to have a light layer of rust on your bike. It may look unsightly, but it's actually helpful in some ways.