If it's got three legs, then it's going to be 2 LEDs in parallel with one lead common. You'd connect the common to 0V, and drive each LED through a resistor. If it's only got 2 legs then it's 2 LEDS back-to-back. You'd apply voltage (through a resistor) in one direction for one colour, and in the other direction for the other colour. Poke around with a 9V battery connected to a 1K resistor to see what lights up when. You won't do any damage if you connect things the wrong way around.