When installing via the automatic plugin-adding system in WP2.7, the plugin is installed as a sub-directory of wp-plugins, thus breaking the CSS reference on line 530 of phplist.php
echo "\n\t<link href='{$phplist_wp_url}wp-content/plugins/phplist.css' rel='stylesheet' type='text/css' />";
http://wordpress.org/extend/plugins/phplist-form-integration/