Light has wavelike properties, and light at any wavelength is called electromagnetic radiation . An arrangement of colors in order of wavelength is called a spectrum .
All matter is composed of molecules, and atoms.
In each atom are electrons, which are constantly moving from lower to higher energy states and back down again. The atom pictured below shows 3 possible energy transitions, and therefore can emit 3 different wavelengths of radiation. Bigger jumps have higher energies and shorter wavelength photons. Smaller jumps, the reverse. So you can have red, blue, green, etc. photons.