In general you would control either the current or the duty-cycle for each LED since the voltage drop across the LED is fairly constant. There are driver chips like the TLC5916 which give you software control over 16 LED channels.
So without knowing the specifications of the LEDs or how many there are we're to provide information on how to control them?!?
You can't connect LED in parallel on a constant-current supply since there is no way to guaranty they will share the current evenly. You could put them in series if the output voltage of the supply is high enough. If you want to dim them separately you will need a separate current regulator and PWM controller for each channel.