Sand the surface of the lamp to remove all rust and paint. Start with a medium to fine grit (80 to 200) to remove the paint and rust, and then sand the lamp again with an extra fine grit (300 to 600) to sand off scratches from the first round of sanding.
Wipe down the bare metal with a damp rag to remove any grit that is still clinging to the surface. Allow the lamp to dry.
Set out a drop cloth or newspapers and place the lamp on top.
Apply a coat of anti-rust metal enamel, such as those made by Rustoleum or RustLock, either with a spray can or a hand brush. If you use a brush, use short, even, up-and-down strokes to create a smooth, even coat. Allow the first coat to dry, then apply a second.