What is this device included in my Arduino parts Kit?
This is an RGB (color) LED. It contains 3 individual light emitting junctions, one each for red, green and blue colors. All 3 LED junctions share one common leg (probably that longest pin on the device) and have their other ends connected to one of the other 3 pins each. 

Somewhere in the documentation you should find the pin-outs of the LED, or alternatively use an LED tester set at perhaps 5 to 10 mA to check each combination of the pins, in each direction, to identify the red, green and blue pins, and the common pin.

Such LEDs can be common anode or common cathode, i.e. the shared pin could be the anode or the cathode. 

For your convenience, here are the pin-outs for two typical RGB LEDs, one common anode and one common cathode, both sold by SparkFun:



Pretty much any RGB LED such as the one shown in the question should follow one or the other of these pin-outs.