I just received my trezor hardware wallet and I am trying to set a passphrase from the advanced tab but I don't see anywhere where I can set my own passphrase. I just have the option to enable passphrase encryption and it automatically sets a blank passphrase.
What I am doing wrong, how do I set my own passphrase?
You do not set the passphrase(s) from the advanced tab, you just enable them. Log out from your Trezor. Next time you connect to trezor.io you will be shown a window where you enter your desired passphrase twice, that will then open a new wallet with zero balance. If you already have funds on your Trezor just enter empty passphrase twice.
https://blog.trezor.io/seed-pin-passphrase-e15d14a0b546#.u6djt7xz8If you forget your passphrase you lose any bitcoin in the passphrase protected account.