Do you know where to find this?

This may be the long way in, but it should work. Go in thru the Colorado Revised Statutes, then select the Colorado Uniform Commercial Code.

http://198.187.128.12/colorado/lpext.dll?f=templates&fn=fs-main.htm&2.0

You can find the revised statutes at: http://www.dora.state.co.us/banking/

Is there a law in Colorado that prevents a lender from charging a prepayment penalty on a loan that is paid early?

Yes. Banks that are subject to Colorado's Uniform Consumer Credit Code are prohibited from charging a prepayment penalty on consumer loans covered by the UCCC. Section 5-2-210. The prohibition would not apply to 1st lien residential purchase-money or refinance mortgage loans.