geepee,
I'm not exactly sure what's going wrong for you. If you click in the gray margin area, then drag the pointer to the box, the box should show 8 little blue handles on it -- three on each side and two in the center. Leaving it highlighted, open the Graphics Inspector.
Do you see a pull-down Fill menu near the top? It should be set on Color Fill, and there should be a square black box right below it. I'm not talking about the color box for Stroke. If you click on that black box once, it should open a Color window.