Hey Kyle,
If you are hooking the LED to red(+) and black(-) then it will be constantly powered, as you are seeing. The control signal is the white wire, so you need to wire the LED from white-to-red or from white-to-black (observing correct polarity, of course).
If you wire it white-to-red, then you’ll have to write a ‘0’ to the port to turn the LED on. If you wire it white-to-black, then a ‘1’ will turn it on.
If this is a high power LED, then you might need to add a transistor to get any significant brightness. The control signal (white) can only drive around 4 or 5 mA.
Cheers,
- Dean