The common anode goes to the more positive supply source which may be a direct connection to the supply or be through a switching device if the LED is part of a multiplexed display. (several 7-segment LEDs sharing cathode connections).
LEDs are diodes (of course!) so when passing current they drop a fairly constant voltage across their connections. The voltage will stay approximately steady even if the current changes as long as you stay within the current rating. The voltage they drop is called Vf. The term Vf means "Voltage forward", the forward refers to being used in conductive mode, in other words lit up.
You can connect to almost any voltage higher than Vf to make the LED light but you MUST use resistors in series with each cathode to limit the current to a safe value. The current will be in the data sheet as "If" or "forward current". You can work out the resistor value by subtracting Vf from your supply voltage and dividing the result by If. For example, if your supply is 5V, Vf is 1.5V and If is 10mA (0.01A) the resistor should be (5 - 1.5) / 0.01 or 350Ω.
Brian.