Confused by icons while trying to build walls

The first tile you have pictured is a wall/pillar waiting to be constructed. Pending walls will have their colors inverted. The second set of tiles are completed walls. Pillar and Wall are synonyms and function the same. Pillars just happen to be where walls end. Pillar tiles will automatically become wall tiles if you extend the length of the wall.

To address another possible point of confusion: they are referred to as "Rough" walls because they were built from unfinished stone (the kind of stone that's lying on the ground after you mine an area). To build "Smooth" walls, you need to first create blocks, as in from a mason's workshop. There is no way to smooth an already constructed rough wall. Still, there's not much functional difference between them. A smooth wall is simply of higher value than a rough wall, so your dwarves will like it better, but this is really only important when you have nobles around.

As an added note: you can carve fortifications into constructed walls, but you cannot engrave constructed walls.