Steel Design > Steel Materials opens the Steel Materials table. (This will list any materials that have been defined in the model, not just steel materials.)

This table contains the materials that have been defined in Tables > Materials, but it lists their steel design related properties as opposed to their analysis properties. The purpose of this table is to specify values for yield strength and ultimate strength for any steel materials that are involved in a design.
Tip: The materials have probably already been assigned to the members in order to get an analysis. So at this point, there is no need to Assign anything specific to members. It is only necessary to specify the material strength values for any materials that are actually involved in a steel design.