The d-orbital set is made up of five subsets that are often referred to as Dyz, Dxz and Dxy, Dx2-y2, Dz2, depending on the axis. The different colours have been used simply to differentiate the different sub-d-orbitals when they come together (as depicted further down); they are otherwise the same as each other.
D-orbitals are similar to P-orbitals in shape, except there are more lobes to them; generally they're almost like tying four balloons together from the middle.
D-orbitals in Each Shell
Only one shell's set of d-orbitals has been depicted below (n=3), however there are also d-orbitals in other shells (e.g. n=4, n=5). Like s- and p-orbitals, the d-orbitals also increase in diameter with each shell. This is because the electrons in sub-orbitals closer to the nucleus repel those electrons in the outer sub-orbitals.