Melt 1/2 cup of one color of candy melts in the microwave, heating for 25 seconds, then stirring, and reheating as needed until smooth.
Stir in 1/2 Tablespoon of shortening, and then 1 cup of Chex cereal.
Stir to coat the Chex cereal completely.
Place one third of the powdered sugar (about 3 Tablespoons) into a ziplock bag and add the candy-coated Chex. Close the bag and give it a good shake for one or two minutes.
The candy won't be completely sugar-coated since we want the color to stand out, so the pieces will stick together a bit. Try to space them out on a cookie sheet to dry.
Repeat this process with the other two colors of candy melts.
Let dry for at least one hour - avoid the temptation to put this in the fridge as that will cause the candy to sweat when it is returned to room temperature.