How could i change the colors of the lights in my case

If the LED's are imbedded in a fan, typically the easiest way to remove them is to completely destroy it with a drill. From there you insert your new LED and solder it onto the same leads as the old one.
If your talking about front I/O (so power, HDD activity, etc) LED's, should be simple enough to cut the existing one off and solder a new one in.