Multi-color LEDs looks like a normal LEDs but they have several different color LEDs embedded within them.
The multi-color LED included in your Arduino kits has red, green and blue (RGB) leds encased in a single package, with separate anodes for the three colors and a common cathode (as shown in the figure below).
Each anode of the RGB LEDs needs to be connected to a 220 resistor before being connected to separate pulse-wave modulation digital output pins on the Arduino.
The brightness of each color can be controlled using pulse-wave modulation (as was demonstrated in the previous class), which regulates how much power each LED receives. The overall color emitted by the complete multi-color LED can then be varied by mixing various colors and levels together.
See Elegoo Kit Lesson 4 for more details, including the Arduino sketch.