What you are asking about is referred to as a "Spectrum Analyzer." The data sheet has a one-channel circuit on page 15, "0V to 10V VU Meter with Smooth Transitions" You build this, plug the output of your sound card into this circuit and you have your meter. If you want to make a couple of different ones for each frequency band, you'll need to build a very simple band pass filter for each of the different frequency bands.
Winamp has a spectrum analyzer built in. I have seen plugins that seem to access the values from the analyzer and use them to control a color organ. If that is the case, it may be possible to write a plugin which then just outputs a signal from one of the PC ports telling your external system which light on each band to light up. I realize this description is vague, but it seems if you are not that experienced, this one might be even more difficult -- though I suspect it would take less parts. I have never written a plugin for winamp myself, so I dont know how easy/hard that part would be.
The example on the internet is known as at **broken link removed**