Clicking on the Select a New Template menu will open a screen similar to the following (your actual list of available templates may be different from that shown here)
A preview will appear in the right-hand window as you select one of the templates from the left-hand window.
Click on "OK" to accept the current template shown in the right-hand window, or click on "Cancel" to close this window without making or changing a selection.
Remember: You will be able to customize the color scheme of the template from within the Website Design Screen. You are only selecting general styles at this point.