You will need the RGB LED module shown in the following picture:
The RGB LED module from PiHardware.com
As you can see in the preceding photo, the RGB LED module from http://pihardware.com/ comes with GPIO pins and a DuPont female-to-female cable for connecting it. Although there are two sets of pins labelled from 1 to 5, only one side needs to be connected.
Alternatively, you can recreate your own with the following circuit using five common cathode RGB LEDs, 3 x 470 ohm resistors, and a Vero prototype board (or large breadboard). The circuit will look as shown in the following diagram:
Circuit diagram for the RGB LED module ...
