Choose the retangular frame tool and draw your box. Next, with that frame (box) selected, look under the menu item called Objects.
Choose Rounded Corners. You'll be presented with a box that allows you to preview and enter the amount of radius you need.
As for color selection, notice all the palettes are 'stuck' on the right hand side of the default page. You can pull an menu off to create a floating palette. Go under Window and select Swathces or Color. That will bring the palette out. Then, just click and drag the palette out so it's always available instead of hidden in it's collapsed state.
You can do this with any palette. After your palettes are out or arranged as you like them, choose Window, Workspace, Save Workspace and name the arrangement. Your palettes will be stay that way.
As for creating a new color, use the Color palette to mix the color and choose mode with the little top left arrow of the palette. Once you've mixed the color, choose Add To Swatches in the little arrow menu.