To define your own color set, you'll need to go to Edit | Colors. Here you will have several options. The most import will be the New button, which displays a window that will give you all that you need to define your color perfectly.
Give a unique and meaningful name to your color; it will help you recognize it in the color lists later.
For the color model, you'll need to choose between CMYK, RGB, or Web safe RGB. If you intend to print the document, choose CMYK. If you need to put it on a website, you can choose the RGB model. Web safe, will be more restricted but you'll be sure that the chosen colors will have a similar render on every kind of monitor.
Old and New show an overview of the previous state of a color when editing an existing color and the state of the actual, chosen color. It's very practical to compare.
To choose your color, everything is placed on the right-hand side. You can click in the color spectrum area, drag the primary sliders...