All RGB LEDs are three separate LED packaged together. In some, all three of the LEDs are electrically isolated and some have either all of the Anodes connected together or all of the Cathodes connected together.
Sidebar: In case you don't know, an LED is a type of diode and thus it has a cathode and an anode. To power an LED, connect the cathode to negative and the anode, through a current limiting resistor, to the positive side of a voltage large enough to drive the LED and produce the nominal current through the LED. You can also put the resistor on the negative, or cathode, side of the LED.
An array of LEDs (such as an RGB LED), that has all of it's cathodes connected together is referred to as "common cathode", and if all of the anodes are tied together, then it is "common anode". Common anode connects directly to the positive source and one driving element is connected to each cathode, and vice-versa for a common cathode. The driving element can be a resistor, or a constant current source, or a PWM driver, etc.
Like an diode, the forward voltage/current transfer curve is exponential, thus for small change in voltage across the LED, there is a large change in current through the LED. Because of that, it's important to limit the current through an LED. A resistor can do this (and the larger the resistor, the better it controls the current), but the best way is with a constant current source/sink. And for high powered LEDs (such as 1/2W and above) PWM using current limited pulses is the most efficient way to drive them and to control their apparent brightness. Usually an LED has a momentary peak current that is much higher than the max continuous current. By driving the LED at this momentary peak current with a narrow pulse, you can achieve the same (or even greater) perceived brightness at lower power than if it were driven at the max continuous current (because of persistence in the human eye). But, consider you application: in some cases, continuous light might be required.
