Those triangles are control sectors. Say, "all" properties you set in those triangles are applied in tagged in-game sectors. Properties are effects, new Floor Over Floors, events, wind, fire etc.
1) You draw a sector where a lake should be (obviously you'll lower its floor height and make a pit). Let's call this sector sector #1.
2) Give a tag number to sector #1, say, tag 1.
3) Draw two triangles outside. They are the your control sectors for water:
- one will place the water in the pit. Here you set the heights of water (floor=bottom and ceiling=surface);
- other one will set the blue light for your water (unless you want a 100% transparency water).
4) Select one linedef (a side of 1st triangle you've drawn outside) and set:
- Linedef action: 74 (this places a translucent block without sides)
- Sector tag: 1 (this tells SRB2 to place a translucent block there in sector #1)
5) In same triangle (control sector), select it in sector mode and give it a water texture for its bottom and ceiling.
Well, from now on you can follow the tutorial to set a color for water.