I want to make a lake in my world. But the place I choose is above the sea level.
How to fill it without changing the sea level?

You could try using some of the River objects that are in CAW (if they are the right size) or else make that area into a lot and put a lake on it.

Other than that you could try using the water levels from Twinbrook/ Bridgeport, but I haven't figured out how to move those around yet.
http://www.modthesims.info/showthread.php?t=425205
So they are better used when you are just beginning a world so that you can sculpt around them.

Bit of a nightmare this one The only way I have done it so it looks reasonable so far is to sculpt the lake/water in the ground..use a riverobject as Simsample says for the water level and use a terrain paint under the water to give it a nice blue colour (or grunge colour if Brisgeport )

Regards

Graham

Like this?

Yes- you can terrainpaint underneath to make it look murky or blue or however you want it.

Real water
More natural

River objects
Looks like a pool of milk

Look closer