That is basically to create a new material from scratch, but such a Thea material also shows all the settings and library access icons for Thea, so it is the starting point for everything else.
For access to the library you can either open the native Thea material editor (which is what I use) with the first icon in the title of the “Schema” group in the material panel when a Thea material is selected. That is both full blown editor and library access in one window. You should have some basic materials in there already.
Or you can use the second icon in that header to access a separate library windows for Thea materials only (I never use that, I find the native one much more powerful).
But of course you can also set up your material right in the integrated material editor, just be aware that it is missing many critical things, like mappings, texture sizes etc.
You can download many more materials either through the updater application that you find in the Rhino menu -> Thea Render -> Update or through the Thea forum where there is a dedicated area for user downloads.
I don’t know how many of those are accessible for demo users though.
Solid Iris regularly posts new libraries, recently there came new structured plastics and some days ago semitransparent plastics. Really good and usable stuff.
There also is a material exchange site: http://www.thearender.media/site/home.php
But be aware that Solid Iris uploaded all their materials there too, so you may have those already.
So how I work is that I create a new Thea Material (either the way you did it, from the Thea toolbar or from the command line “TheaNewMaterial” - may be a good idea to create a shortcut for that) and then I usually access the native Thea Material editor, where I have all the folders I normally use laid out as I like them. A doubleclick selects a material from that library (I usually start out from something existing and then tweak away). “Accept” then gives you that material in the slot you had selected in Rhino.
I also usually set the Preview -> Room to unbiased, that gives you a much better feel for the material than the dead looking default material ball, especially if you work with one of the unbiased modes (Presto MC, TR1 etc.).
There are also nice preset rooms for Cloth, Floor and Wall.
There currently are some bugs with material thumbnails where you may get a wrong preview or none at all, I already reported it and hope they can fix it soon.
Hope this helps,