Depending on the color, try shoe polish that is meant for shoes of the same shade - neutral polish will work for most colors, but try for a color-keyed polish for a colored purse. Think about protecting the purse with another leather-specific product to help condition and save the leather during future cleanings and polishing.
Use a soft cloth to do the actual polishing, and always try the product on an inconspicuous spot first, or try the polish on a second-hand item before using it on your favorite purse!