Powdery mildew is a fairly common issue for courgettes, squashes and pumpkins. It starts to affect them in late summer and is not something to worry about. The leaves will start to develop a whitish coating before turning yellow and eventually dying off.
You’ll most likely find that the mildew affects the older leaves whilst the new leaves grow through perfectly healthily, and that the plant continues to produce edible fruits for several weeks afterwards. Our advice would be to simply remove the worst of the affected leaves to allow the new growth to come through, and not to worry too much about it. You could try a milk/water spray (1 part milk to 3 parts water sprayed on the leaves) if you want, but remember that this is very much part of the plants’ natural cycle and will be difficult to prevent.
If you haven’t given the plants a liquid feed, this would also be worth doing as it will give them a boost of nutrients to help improve their overall health and resistance to powdery mildew (and other problems).