Ok while watching a tutorial I stupidly missed the part that you have to add a shape in object mode to create a new object. Well I now have 5 shapes in one object and can't color them differently. If I wasn't as far in I would just recreate them, but I would be so grateful if someone knew of a way to extract them into new objects or break apart the single object i have.
Object created from UV Sphere and added 3 other UV Spheres and a Cylinder inside that object.
Im using Blender 2.5, if that matters.
While waiting for an answer I found another way to make them different objects. I went into Object mode duplicated my object 4 other times and deleted all but one shape from each duplication... allowing me to have a shape per object.
NOTE : I will still give anyone credit for an answer if they can actually tell me if there is a way to break one object into multiple.
Go into vertex mode with Tab, select the vertices or faces you want to remove, then remove with P. See the docs for more information.