In Tezos there are two types of accounts: the ones starting with TZ1 which hold the funds, and the ones starting with KT1 which are the originations (smart contracts) for delegation. You can only delegate with your KT1 accounts.
To delegate please create a KT1 account, and follow this step by step guide.
Read more about tezbox here.
Add a new account (when logged in into your wallet) at tezbox.com.
Click "Delegate", select "Custom" and enter delegate address. Press "Update Delegate" and wait until the operation has been added to blockchain (this normally takes around 1-2 minute).