Is there a font where each dash is a different color?

Usually, no, but it might be possible with new open type features.

Usualy, a font as got only two colors : Full and Empty.

For some dashed fonts :
http://www.dafont.com/theme.php?cat=602&fpp=100&af=on

None. You will have to do it manually.

Change the type to a format that can be manipulated in your program. Different programs have different ways of doing this - convert type to outline, rasterize the text layer, using selection, etc. It really depends on how it is done in your program.