Before you choose a color, you need to indicate whether you are working on the fill or stroke for the selected object. At the bottom of the Toolbox, look at the two icons that represent the Fill (left) and Stroke (right). The icon in front indicates which is active, fill or stroke. If the stroke is active and you want to work on the fill (or vice versa), press X. Each time you press X, you will toggle between an active fill or stroke (unless you are using the Type tool).
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