In your example, the box with a list of websites might be call a
this is because the designation Filters is already given to the box. Usually in technical writing, it is best to conform to a strict naming convention so the user can follow in a consistent way across a range of topics. This way of writing can be very different to ordinary prose writing.
What the popup / dropdown box (depending on implementation) is representing is not a list of filters per se but a configuration of filters. It might be better to refer to it as
Filters configuration menu
Filters configuration box
since the frame of reference is the box and not so much the list in your directions
click on "Sample article" on the top right corner of the Filters configuration box to load a sample page for testing the filter.