MSGEQ7 by itself is available at Graphic Equalizer Display Filter - MSGEQ7 - COM-10468 - SparkFun Electronics
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:
- Learn how to connect and vary brightness of one or more RGB LED's.
- Learn how to connect an MSGEQ7 and get debug output from it.
- Learn how to use an MSGEQ7 with single colour LED's.
- Integrate the MSGEQ7 with RGB LED's.