That is misting coolant. Get a coolant with a rust preventative in it. I have never seen commercially available way covers for a Taig. I have seen people fold their own for Sherline mills. There is a youtube video on how to do it.
[nomedia="http://www.youtube.com/watch?v=EV-eHIGzMPg"]YouTube - Leadscrew cover for your Sherline mill[/nomedia].
I did find 1 for a Taig but I dont think it is as nice.
[nomedia="http://www.youtube.com/watch?v=OO3GAyyHiA8"]YouTube - TAIG CNC Z axis way cover / bellows[/nomedia]
I hope this helps. In fact "Tryally" on youtube (Luiz Ally) has built a machine that automatically folds the covers. I dont see him selling a product though.