4. Click on the browse button in the Ocean material parameter. This will open the currently applied material.
I assume you've clicked this button? It means the "..." symbol next to the ocean material that you've got highlighted in the picture.
If you don't know how to create new materials in the material editor, I suggest you read the basic documentation at freesdk.crydev.net, or look at the relevant chapter in the cookbook (provided the book goes through the basic Sandbox UI and tools).