Image courtesy of Adafruit
Common anode RGB LEDs have 4 pins – 1 common anode (you generally connect this to your supply voltage) and 3 cathode pins for red, green, and blue (you generally connect each of these through a current limiting resistor to an Arduino pin). The pin assignments will vary between manufacturers, so refer to the datasheet for your LED. You can also just hook it up and test to see which pin is which. The longest pin is the common anode pin. Because you will be driving the cathodes of the LEDs, remember that the software logic will be inverted – set the cathode pin HIGH to turn it OFF, and vice versa. Note that common anode RGB LEDs and common cathode RGB LEDs are not the same! Make sure you get the right one for your project.