Before you can mine Cobble Stone you need to craft a Pickaxe (Details here: Solution for Time to Mine! in Minecraft: Xbox One Edition
Once you have a Pickaxe walk up to the grey blocks and mine them until you have at least 8 in your inventory. Walk up to your Crafting Table and press
and craft a Furnace.A Furnace requires 8 Cobble Stones.
Incase you need it here's what Cobble Stone looks like
Here's a video showing you.