How to set up led lights

You have a few options, the most common being Cathodes and LED Strips.
I personally run cathodes, simply because they are cheaper. They produce a less deep color, and simply look brighter.
LED Strips are a bit more, but they provide a rich color and simply look better overall to most.

You can search newegg for Cold Cathodes to get the cathodes, or look into something such as the NZXT hue for leds.