Trevor's calculations were written slightly wrong. When the rheostat is at maximum resistance, 35Ω, and is passing the maximum allowable current, 0.845A, the voltage across it will be:
V = I × R
= 0.845 × 35
= 29.575V
The amount of power the rheostat will dissipate will be:
P = V × I
= 29.575 * 0.845
= 25W.
So that explains the strange, "not very round" number in the rating - 0.845A corresponds to 25W when the rheostat is at maximum resistance.
Heating effect is proportional to power, and when the full length of the rheostat's wire is in the circuit, it can dissipate 25W. The heat that's generated will be evenly distributed over the whole length of the wire, and will be absorbed by the other material (bakelite or whatever it is) in the rheostat.
When the rheostat is at a lower resistance, the power dissipation at the maximum rated current will be lower. For example at mid-position, R = 17.5Ω so:
V = I × R
= 0.845 × 17.5
= 14.7875V
and the power dissipation will be:
P = V × I
= 14.7875 × 0.845
= 12.5W
So the rheostat will dissipate half as much power. That makes sense, since only half of the wire in the rheostat will be in the circuit, and the heat will be dissipated in an area only half the size compared to the first example. So only half as much heat energy can be dissipated before parts of the rheostat will get too hot and be damaged.
So specifying the rheostat for 0.845A maximum current actually makes a lot of sense. No matter what position it's at, as long as the current is less than 0.845A, the heat dissipated by the rheostat will be manageable.
Those two formulas, Ohm's Law and the Power Law, are all you need to calculate the relationships between voltage, current, resistance, and power for anything "ohmic"; that is, anything whose resistance is more or less constant over a reasonable range of voltage and current. Resistance wire is not exactly like that, because as it gets hotter (due to power being dissipated), its resistance (per distance) increases. But they should be enough to get you started.
Ohm's Law can be expressed in three ways:
I = V / R
R = V / I
V = I × R
The Power Law can also be expressed in three ways:
P = V × I
V = P / I
I = P / V
And the two can be combined in various way to eliminate one quantity or another. Common arrangements are:
P = V2 / R
P = I2 × R