In the beginning...
In the beginning there has to be some light. A beam of white light is simply a mix of electromagnetic waves with different wavelengths. To prove it, we could use a prism - light going through the prism would disperse, leaving us with a range of different colours.
A beam of light dispersed in a prism.
Natural light dispersion
A rainbow is a sort of prism too - you can see all the colours starting with red, going through orange, yellow, green, turquoise, blue and ending with violet. Below the red light there is infrared radiation and above the violet light we can expect ultraviolet; in both cases it will be invisible to our eyes.
A beautiful picture of a rainbow
(there are always two of them!) by Nongo.
The fact that white light is built up with different colours will help us to achieve similar effect using primary colours in web design.