When the moon is near the horizon, the sunlight has to travel through more of the atmosphere to reach our eyes. This means that more of the blue and violet light is scattered away, leaving the orange and red light to reach us. This gives the moon an orange appearance.
The moon can also appear orange during a total lunar eclipse. This is because the only light that reaches the moon during an eclipse is from the sun's corona, which is a hot, ionized layer of gas surrounding the sun. The light from the corona is mostly red and orange, so the moon appears orange during an eclipse.