Good question. I am guessing that your question comes from observing that alga cells come in lots of (beautiful) colors? Let's start with what a pigment is - basically, in biology, it is "a molecule that can absorb light energy" (instead having that light pass through it or bounce off of it). Usually, a pigment molecule will absorb only specific wavelengths of light (others will reflect) - we "see" leaves as "green" because they are reflecting radiant (sunlight) energy of a specific wavelength - the "green" wavelength. Various pigments in the leaves absorb the other light energy wavelengths. So, different algae have different colors because they have different pigments that absorb different wavelengths of light (and thus reflect different wavelengths).

When a wavelength of light is absorbed, what does that mean for a living cell? In the visible spectrum, the absorption occurs when an electron is boosted to a higher energy level (this relates directly to atomic orbitals). Once the photon of light has been absorbed, the electron is said to be "excited" - in the case of photosynthetic organisms like algae, the excited electron in a photosynthetic pigment is transferred to another molecule where the electron is now more stable - and the energy can be "captured" for use in driving photosynthesis (instead of being released as heat, for example).

So, why have different pigments? Now let's get to the cool part of your question - the adaptation aspect. The answer is related to the availability of light in the organisms' watery environments. Water absorbs the longer red to yellow wavelengths of light to a much greater degree than the blue-green wavelengths. This is why when you dive into sea water more than just a few feet, it appears blue-green. In land plants, the main photosynthetic pigment is chlorophyll a, and it absorbs red light. But not much red light penetrates down into the water, so aquatic photosynthesizers have had to use other pigments, those that absorb in other wavelength ranges. Diverse accessory pigments are used to absorb the light. Interestingly, these pigments are still present in land plants (descended from aquatic plants). Now you know why algae floating on water is usually green (it can harvest the red light before it hits the water).