How to switch control between 2 RGB LEDs with PWM from a Netduino
Assuming your PWM output can supply enough current for both LED's then put a FET between the cathode and ground for each LED.  Control each FET's gate with an I/O line from the microcontroller.  This way you can turn either on, both off, or both on by controlling the I/O lines.

Just make sure the PWM pins on the uC can actually provide enough current to drive the LED and that the current is properly limited.