They are called moonbows and are formed by light from the moon shining through a shower of rain.
Like a normal rainbow, the light is split up into the colours of the light spectrum and bounced off the rain drop but because moon light is about 400,000 times weaker than sunlight, moonbows are much fainter.
To see one, the moon must be in clear sky behind you. The water droplets must be in front of you and it must be dark enough.
The best moonbows tend to occur when there is a full moon but unless you're away from street lights they maybe difficult to see. Quite often the colours are so pale that moon bows look ghostly white.
The next time there is full moon and showers are forecast at night who knows you may be lucky and see a moonbow.