How to get coloured lights in my photos?

I have a Nikon D5000. How do I get lights in my photos like this?

Do I need a special lense or filter?

Those colors you are referring to are just movement. This is due to the slow shutter speed which is normal if you take in the dark. The movement of the singer and the spotlights were all captured. In short, they are simply called blur.

No special lens or filter was used. This can easily be attained even with a simple point-and-shoot camera.