KColorEdit is part of the KDE project http://www.kde.org/.
KColorEdit can be found in the kdegraphics package on ftp://ftp.kde.org/pub/kde/, the main FTP site of the KDE project.
In order to compile and install KColorEdit on your system, type the following in the base directory of the KColorEdit distribution:
%
./configure
%
make
%
make install
Since KColorEdit uses autoconf and automake you should have no trouble compiling it. Should you run into problems please report them to the KDE mailing lists.