Welcome to the forums!
Right off the bat, under 18 purchase, possession, carry of a handgun is illegal.
If you're 19, then you cannot purchase a handgun via standard legal means thru NICS. Private sale of a handgun under 21 is hazy tho, can someone clarify that? I know that you can gift or give thru inheritance a handgun to an 18-21 yr old, but I think thats really about it.
Now, you can OC/posess a handgun under 21, but cannot conceal. You also cannot apply for a permit under 21.
As far as bringing it from WY, I'm not sure, best to consult the Colorado Revised Statutes...