LEDs can be confusing. They will drop about 1.7 volts no matter what voltage you apply to them. LEDs offer no resistance to current, so a resistor in series is always needed to limit current.
Calculate the needed resistance:
resistance = (power supply voltage - 1.7) / 0.015
(the 0.015 is 15 milliamps, 10 to 20 mA is fine)
for 3.3 volts you need a 100 ohm resistor (give or take a few ohms)
for 5 volts you need a 220 ohm resistor
Calculate the needed power disapation of the resistor:
power = (power supply voltage - 1.7) * 0.015
a little 1/4 watt resistor will work fine for 3.3 or 5 volt power supplies
The 5 volt output on the power supply is much easier to get to than the 3.3 volt. Either voltage will work just fine so Id recommend the 5 volt. LEDs have a positive and negative lead, if it dosnt work one way, just turn it around. If the LED gets hot or is glowing a weird color then check your supply voltage - make sure its not conneted to the 12 volt line. Hope this clears everything up.