You'll need to research the Meteor Defense System technology under the Physics research tree in order to be able to build MDS Lasers.
MDS Lasers cover a radius of 20 hexes, require 15 metal and 5 electronics to build and require 10 units of power to run, so make sure you have adequate materials before building.
Build as many as you can around your colony as they help aid shooting down meteorites. Once you have your colony covered, it's just a matter of waiting for a meteor shower to rain down on your colony, then your MDS Lasers should shoot one down.