In a book!

You can read your child a story point out the color of the week when you see it.  Encourage your child to also point out the color as you read.

Draw a picture using only that color

When focusing on one color, you can have your child draw a picture of anything, but only give him a crayon in that color.  The picture will still be fun and you get to talk about that color the whole time!

You could also do this activity with the color you are currently learning and all the past colors that the child has learned.  Then, as you color, talk about each color the child is using.  Let him decide which color to color with because then he will enjoy it more.