If you are wanting to change the LED for messaging, you would want to download a messaging application like Handcent from the Android market place that allows for customization for the message indicator LED.
There is also an application called GMail Notifier you can download from the market place that allows you to change the LED color. Please be advised that these applications are downloaded from the Androidmarket place and are not actual Verizon Wireless Applications. Once you have downloaded the application, you can find the LED color options in the settings of the application. If you download another messaging application, you would want to make sure to close the default one, by going to Settings, applications, running applications, choose the default messaging application, and then force close. You can also just download the application, then change the LED color, then remove the application.