Ash rain is the nasty, painful stuff that falls from the sky in hell biomes. There's no way to stop ash rain from occurring, as hell biomes cannot be purified. An exo skin will protect you from it, but a more low-tech method of dealing with it is to simply create a ceiling of blocks across the top of the world. Don't use earth, though -- it will quickly disintegrate!
Note that just as purified rain is necessary to grow flowers on temperate worlds, ash rain is required for ghost tree bulbs to grow in hell worlds.