When you see a Led that can change color, it does it by the amount of current passed through the led from the cathode to the anode of it.
That`s about as much as I can tell you lambshot.
As for creating a device or circuit to do so to change the color of the led when the temp diode of the cpu, or motherboard reports the cpu temp as very high or the system overheating I would have to have a good think about it lambshot.