MSGEQ7 by itself is available at https://www.sparkfun.com/products/10468
Two fully wired up MSGEQ7's on a shield is available at https://www.sparkfun.com/products/10306
In the meantime, I'd just play with the RGB LED's and vary the brightness on a PWM port with the Arduino.
You should also note that there are common anode RGB LED's and common cathode RGB LED's. Common anode is the more popular.
I break my projects down into components before doing the whole thing. In this case:
1) Learn how to connect and vary brightness of one or more RGB LED's.
2) Learn how to connect an MSGEQ7 and get debug output from it.
3) Learn how to use an MSGEQ7 with single colour LED's.
3) Integrate the MSGEQ7 with RGB LED's.