As far as I know, whatever color you bought is the color that is the color the Controller will be. There is a feature where if you press it after the controller light is already on, it'll change it's mode to a flashing mode.
Meaning the controller will flash it's lights on and off. If you do figure out a way to change the color let me know, as my controller color is Red, and I'd rather it be Blue.
For my controller, there is a button on the bottom, and when I press it for some reason it has 3 lights that turn on after each press. Blue, Green, and Red with Force Feedback Lights. Not sure what those two are for, but to change color you make the light blue, and then use the left brown townog Stick to change the brightness of the light and the right brown townog Stick to change the hue. Be aware, you have to hold the brightness and hue in PLACE and then press the button again to confirm.
Not sure what yours is, though.