I can’t see the boxes because there’s no screen shot posted… but I’m sure they function as your already suspecting—a nice place to store frequently used colors.
To fill them up with the colors you want. . . try to drag the preview color swatch over to one of the empty slots and drop it there.
The color pallet is OS specific…
I’m running SketchUp on a Macbook Pro so I get a different color palette than you do. . . and the approach I outlined is how it works on Apple’s OS X.
I can’t remember exactly how things went under Windows 7… but you could easily look that up on the internet. As far as the Color Window goes, that functionality is directed more towards a Windows (7) question, than a SketchUp one.