For the regular LED we will need to see photos to know what you mean by backward and forward. Normaly, the longer leg is positive (anode) and the shorter is negative (cathode). Also, the cathode is often identified by a flat edge around the bottom of the plastic housing. If it only lights up when installed what you call backward, either the LED is wrong or your mental model is. It is hard to tell from the picture but it looks like the longer leg is connected to VCC. I would start here for blinking a single LED
RGB LED's come in common anode (common power) and common cathode (common ground) varieties. From your description, you have a common anode RGB LED. To get multiple colors you will need to connect the long pin 3.3volts and the other three pins to ground or 3 GPIO pins. The other 3 pins are the red green and blue pins. Try connecting the LED to 3.3V and one at a time connecting the other three pins to ground.
A search for Raspberry Pi and RGB LED should give you several tutorials to follow, like this one that covers both common anode and common cathode RGB LED's. You may want to look at pulse width modulation (PMW) to fade a single LED before trying to control your RGB color.