I have found the "problem".
When we add a package, the files are not installed in the "Resources" folder located in the installation folder (for me, under "Program Files").
They are installed in the "Resources" folder located here :
"C:\Users\<User>\AppData\Roaming\Ambient Design\ArtRage 3\Resources"
It is not a problem for the pens because Artrage permit de choose it by the user interface. But for the colors, we have to locate the "col" file. The problem is that "AppData" is an hidden folder and so it is not very practical (I don't want to have to show the hidden folders).
Maybe an option could be added in the next releases to choose the colors added in a simpliest way (like the pens).