Unsure how to connect the anode in this circuit
Firstly, you have made the classic rookie mistake with your circuit regarding your LED current limiting resistors.  You have one per LED group instead of one per LED within a group.  The arrangement you have at the moment means that at best some LEDs will be dim or not light at all, and at worst will result in LEDs burning out.

There should be a resistor in every red, green and blue wire in your diagram.

As for what to do with the three orange wires (once you have re-arranged the resistors) they connect to three spare IO pins on the Arduino - you then turn each column on or off as you need - only one column is on at a time.  If you need more than 20mA for a column (which is highly likely with up to 9 LEDs on at a time) then those lines should be connected to either +5V or GND (depending on if you are common anode or common cathode) via transistors and the transistors should be switched by the IO pins.