Thank you all for helping to solve this problem. Thank you, le duc tri, for the YouTube video, I am glad I was able to watch it before it was deleted. Thanks, Curtis Price, for pointing out that I needed to use a projected coordinate system.
At first I got an error message when I tried to run the Create TIN tool,
1) then I set the layer to the correct Projected Coordinate System but I still got an error message.
2) Then I set the Data Frame to the correct Projected Coordinate System and the Create TIN tool worked, BUT I didn't realize that the "Height Field" was a drop-down list, so --finally--
3) I choose DEPTH from the Height Field drop-down list and then the TIN was created and looks great.