Why did the peahen prefer the colored peacock?

They look better.

In evolution, having traits that help one survive is very important, but it is only important so that one can reproduce and pass those traits to the next generation. For this reason, traits that enable an organism to reproduce, without necessarily helping them to survive are selected for: the ones that reproduce pass the traits that helped them to reproduce on to their offspring and the ones that don't reproduce don't have offspring, so their traits disappear from the population. Darwin called this idea "sexual selection".

The male peacock has a lot of showy feathers. One would think that these would not appear in evolution; they would be noticeable to predators and would get the peacock stuck so it would not be able to escape from predators or get food. However, peacocks use their feathers to attract peahens (female peacocks). The peacocks with the showier feathers are able to attract mates, so they are the ones that have offspring, and pass on the fancy-feather genes to the next generation. However, the organism must also be able to survive. Peacocks can fold up their tails, which lessens the danger of being noticed by predators or getting caught in the bushes. In addition, as with most species where the males are colorful or fancy to attract the females, the peahens are much duller and more camouflaged, in a large part because they are the ones who guard the eggs and chicks. Survival of the next generation is very important.