Should be pretty straight forward. The sketch needs to request the page, and then read the response line-by-line.
When it finds a line containing "Small Craft Warning:" it then needs to check for the string "In Operation" or "Nil" on that line and light the red or green light accordingly.
I don't have an ethernet shield, so I can't suggest a sketch, but I do have ESP-based arduino, which is a WiFi board. The sketch will be 95% the same for an arduino with an ethernet shield I would imagine.
"line" is a String object variable which holds the line of text that was most recently read from the web page. String objects have a method called IndexOf() which searches for a given piece of text within the text it holds. if it finds the given text, it returns its offset from the left. If it cannot find it, it returns -1.