From the Window menu open the panel styles> character styles after that click in the panel on the icon below foer a new character style > Double-click to open the properties and give the name to the style > in the properties panel define color, size and everything else.
done this select the part of the text that should have those features and click on the style that you just created.
Thanks Gaetano, in your instructions, you set the font family and size. I want my character style to work on any font family and size. I've discovered that character styles only work as overrides on a paragraph style with no other overrides. Notice from my middle screenshot that I had not set any font information. When you apply a character style to a block of characters which have overrides, you get a plus on the character style. Clicking on the first icon (arrow), removes all the overrides and applies the character style, thus causing the font family and size change noted in my 3rd screenshot back to the default. Myrid Pro Regular 12pt appears to be the default font and therefore is the font you get when you remove all overrides in order to apply the character style.
By creating several paragraph styles and removing all overrides in the text for each, I was able to apply the character style with just the color.
In conclusion, character styles are working but can only be applied to block of text that has either the default text or a paragraph style and no overrides.