I'm adding this here as the result of a thread on one of the other forums I belong to. This is pretty important to understand as far as your gear goes but I also suspect there may be nasty side effects to your lungs if you get too close. Please read the info at this link.
I saw that when it came out. I had seen a forum post from a guy in India on another forum a year or so before this, and he was asking why his photos all suddenly started looking terrible, like they were shot through filthy glass. His sample photos were all of one of these powder-throwing Holi festivals, which explains everything.