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.
For detailed information on how to compile and install KDE applications see Building and Running KDE Software From Source
Since KDE uses cmake you should have no trouble compiling it. Should you run into problems please report them to the KDE mailing lists.