Thanks, Chaka. I followed the tutorial, installed a water shader and got distant land working. Morrowind looks amazing! Any MGE shaders you recommend while I'm at it?
What version of MGE are you using?
If it is one of the newer revisions (161 and up), then you don't need to install an external water shader. In fact, doing so will probably just mess up your water -- instead, on the Distant Land Tab, select Shader Model 3.0 water and Phal's Improved Water Shader will be active.
If it is another older revision, make sure that the water shader you installed is meant to be used with that revision, otherwise you will probably end up with something else broken.
Besides water shaders, the only "must have" in my opinion is Phal's sunshaft rays v2. With newer MGE revisions, the underwater caustics shader is built in, so that's no longer necessary to add with the shader editor screen. SSAO can indeed look very nice, but I prefer to use it for indoors only (does anyone know if the shader flags problem still exists?). Depth of Field isn't really my style.
I find it hard to get a good compromise with HDR in Morrowind, but bloom can be fantastic when applied correctly. I still haven't found the "perfect bloom" yet but trueBloom is usually pretty nice. It has a sky mask, which is nice: prevents the sky from just turning white like in a lot of other bloom shaders. You'll have to dig around and see what, if any, suit your preferences. It is relatively easy to get a shader that looks good for screenshots, but really, you will want to find something that looks great all the time while playing.
Good luck!