I am very new to this whole thing but I now have a laser cutter and trying new things

I am on a tutorial and I selected material and can not deselect it. It is the free web version but can’t see why that matters.

Welcome. It matters because the various types and years of SketchUp have different interfaces and capabilities and so the correct answer for one kind of license will not be correct for another. Knowing which version of SketchUp you are using as well as your operating system and graphics card details allows us to provide answers and suggestions that will work for you.

Can you describe the problem a bit more? You have selected a material in the materials tray and want to select a different material? If you click on a different material is the new material loaded into the swatch at the top? Are you “stuck” on a single material? If you are done applying the material simply change tools and continue modeling, there is no need to clear the materials window.