How do you put walls in water in Age of Empires 2?

Firstly, you cannot be the Goths as they cannot build walls. Also, you will have to be in Feudal Age to build stone walls.

Just select a villager, and press the 'b' and then the 'w' key on the keyboard. This hotkey will allow you to build stone walls. Keep in mind that each stone wall costs 5 stone to create.