1. Create the ledtest.py script as follows:

#!/usr/bin/python3 
#ledtest.py 
import time 
import RPi.GPIO as GPIO 
# RGB LED module 
#HARDWARE SETUP 
# GPIO 
# 2[======XRG=B==]26[=======]40 
# 1[=============]25[=======]39 
# X=GND R=Red G=Green B=Blue  
#Setup Active States 
#Common Cathode RGB-LED (Cathode=Active Low) 
RGB_ENABLE = 1; RGB_DISABLE = 0 
 
#LED CONFIG - Set GPIO Ports 
RGB_RED = 16; RGB_GREEN = 18; RGB_BLUE = 22 
RGB = [RGB_RED,RGB_GREEN,RGB_BLUE] 
 
def led_setup(): 
  #Setup the wiring 
  GPIO.setmode(GPIO.BOARD) 
  #Setup Ports 
  for val in RGB: 
    GPIO.setup(val,GPIO.OUT) 
 
def main(): 
  led_setup() 
  for val in RGB: 
    GPIO.output(val,RGB_ENABLE) 
    print("LED ON") 
    time.sleep(5) 
    GPIO.output(val,RGB_DISABLE) 
    print("LED OFF") 
 
try: 
  main() 
finally: 
  GPIO.cleanup() 
  print("Closed Everything. END") 
#End

2. The RPi.GPIO library will require sudo permissions to access the GPIO pin hardware, so you will need to run the script using the following command:

sudo python3 ledtest.py  

When you run the script, you should see the red, green, and blue parts of the LED (or each LED, if you're using separate ones) light up in turn. If not, double-check your wiring or confirm that the LED is working by temporarily connecting the red, green, or blue wire to the 3V3 pin (pin 1 of the GPIO header).