You say you are "plugging them in" but fail to say what voltage... So are you using 3.3V, 5V, or 12V?
I looked at the link for them at FrozenCPU, and they seem to only be a bare LED, with extension wires. You would need to plug them into drive pins meant to drive an LED, as looking closely at the pictures, there doesn't seem to be a current limiting resistor in the wiring. Note that the forward drop of the LED is stated as 3.5V, so plugging them into a 3.3V output might not be enough to light the LED. Also notice the reverse voltage is only 5V, so if you've plugged them into a 12V supply rail, you've likely damaged them.
Note that the LED is directional, so unless they give you some directions when you receive them as to which is the positive and negative lead, it may be difficult to tell if you have them connected correctly. I notice the pictures are not even consistent, as one shows black leads, and the other shows two colors for the leads. So, just make sure you have not plugged them into anything higher in voltage than 5V, and the output is designed to drive an LED... ie: it is current limited. Then if it doesn't work while connected in one way, swap the two leads.