These can be found just about anywhere. All you need is to have a separate line for each LED. Have a resistor in series with the LED. The max current you can drive directly from a PIC is 25mA and the max TOTAL is 125mA. If you want to exceed these limits, you need to use a drive transistor (usually isn't necessary unless you are using a high wattage LED.
The PWM can be done using a PWM module if the PIC has it or by using timers and interrupts. Just remember that the human eye can see switching slower than 24mS, so you probably want to be switching your on-off cycle in a 5 or 10mS period for each LED. You just set an interrupt to start each cycle every 10mS and turn on each of the LEDs. Then you set the timing for each of the colors so you'll get an interrupt, and on receiving each timer interrupt, you'll know when to turn that line off. Make sure there are 3 before the end of the 10mS period....or add the code to ignore it when it's greater than 10mS so it just stays on (same for staying off).
That should be enough for you to do it. Good luck.
-D