If you are having problems with rusty chains, the best thing to use is Boeshield T-9 lube. It is designed to remove and inhibit corrosion and was originally developed by Boeing for use in aerospace and marine environments, which are alot more challenging situations for dealing with corrosion than bicycle riding. The T-9 liquid will penetrate the chain thoroughly, dissolve rust and leave a waxy coating on your chain that will not readily wash off once dried. You put the stuff on, cycle your cranks about 30 times, let it dry overnight, and go and ride. After finishing your ride, you wipe the chain down and the rust will come off. No need to relube for a good while afterwards, although you may want to wipe the chain down after each ride to remove more of the dissolved corrosion. T-9 also is great for fixing stiff links. Put it on, let it dry overnight, flex the link a bit and go ride. Problem solved.
I also find that the XTR level Shimano chains are considerably more rust resistant than lower level chains, although they will rust if exposed to consistent wet conditions. However, using T-9 on my XTR chains, I haven't had any rust problems.