For a colour-coded sequence showing exons including untranslated regions (UTRs) and introns, click on any transcript. From the Transcript tab, click on the Exons link at the left. The Exons page allows you to view the transcript sequence, along with flanking and intronic regions.
A short video describes this view.
Click on the Configure this page at the left and customise the Exons page. Or try BioMart for sequence export.