Please go to MSI official website and search your model. Then select "Download" -> "Quick Manual" to download a zipped file which contains the instructions in a PDF file to know how to set up your keyboard LED color and style.
This PDF file is also included in the preloaded system of some models. You can find this file in your "Desktop" or "Documents" folders.
PS: The keyboard LED feature is not available on every model of laptops.