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Why doesn't it show anything?

Probably, you have to configure it under "Options->aNobii Plugin".

I configured it! It doesn't work!

Probably, you have specified a "customized" url in the preferences, such as http://www.anobii.com/people/jhack: it will never work! You must retrieve your user-id from the Feed RSS url near to the bottom of your aNobii's Home Profile.

Therefore the url you must provide must be something like http://www.anobii.com/people/010c51b082b89840a7.

= The URL is correct now, but I can't see any cover

Check if the file "proxy.php" (and the directories which contain it) have the correct permissions. It depends on your host, so I can't say what are the best configurations. For me, 755 for the directories and 644 for "proxy.php", but on different hosts the latter one needs 755.

What the hell?! It still doesn't work!

I don't know what could be your problem. Please write a topic and I'll try to understand and correct your problem.