The filled rectangle shows the current line colour. To change it, click the Line Colour box.

For a line with no colour, click the 'None' tick box.
For a colour, click on the Line Colour ... button.

A Colour Picker box opens.Choose a style by clicking on a pre-defined colour, or click the Custom Colours button to choose your own.

Click OK to apply the style. You can then select another option from the Style dialog box if required.