Styles Drop Down Box on Write Post Screen

I spent the entire day yesterday reading all the Word Press documentation, but have not found the answer to this question.

On the Write Post Screen, there is a drop down Styles box on the left under all the formatting options. There are no styles listed in the drop down menu. How do you use this function to style your blog posts?

Do you have to set these styles on a page style sheet (I have both a blog and web site together) or in the CSS?

I’d be most appreciative if someone could point me to the information on how to use this.

Thanks!

Suzi