New Water makes a small, moveable source of water, unlike the water you get when you tick the Ocean box. This water you are able to change the size of so you can fill a small area on a cliff with water, without worrying about drowning the whole map for example
\Water Material is basically the place where you can type in an existing material, so you can pretty much change the look and colour of the water. Try clicking New Water or tick the Ocean box and type in WaterFallMat then hit Enter on your keyboard