WebJunk PHPList is a WordPress plugin that integrates a Seperate PHPList install with WordPress.
Please give us specific details. First thing is you must already have PHPList installed on the same server. You must also have entered the path to your PHPList install in the top of the wjphplist.php file.
A page should have been created (by default called "Mailing list") but if it is missing you can create a Page (name does not matter) and make sure in Custom Fields it contains: Name: wj_mail_page Value: mailz