how to make a shape layer with different colour?

I agree with Rick that creating this in Illustrator may be easier if you're familiar with that already.

Shape layers can be very complex, which can also make them pretty confusing at first. Importing some Illustrator artwork and then converting to shape layers might be a good way to help understand what they're capable of.

There's an effector you can use called Merge Layers, which is essentially like Ai's Pathfinder panel, but nondestructive. If you think of shape layers more like a folder structure, it can be helpful for understanding how they work.

Here's a quick example of one way we could go about building your shape. I've made the base ellipse, then two free-form shapes for the sides. We combine those into their segments using the Merge Paths (set to Intersect, in this case) - I'm effectively using the ellipse as a clipping mask, make sense? Now the Fill/Stroke in that group is only applied to the resulting trimmed shape. Make another copy for the other side, same thing. Make a bare copy of the Ellipse for the middle section.

You can build things like this in different ways, depending on exactly what you need to do with it. I can probably think of 3-4 ways off the top of my head to construct something that looks like this, but would give you different kinds of flexibility, ease of changes, etc.

Each color needs to be a separate shape. They can be in the same shape layer. You can also add gradients and put the color changes close together if you want. You can also add multiple gradients to the same shape element. It is just like working in Illustrator. In fact, if you do not need to use Shape Layer animators I would do the graphic in Illustrator. It will go faster and you can create some very complex elements that can be individually animated in AE easily when you import AI files as compositions.