First, have you entered the correct Amazon credentials? You need the public and private keys, plus an associate's id.
Additionally, I have some questions:
1) What O/S does your web hosting server run (Linux or MS-Windows)?
2) Is your WordPress install a single site install or a multi-site/networked install?
3) Which web browser are you using (Firefox, Chrome, Safari, or IE)? Under what operating system (MS-Windows, Linux, MacOSX, Android, or Ios)?
There have been problems reported with MS-Windows as the web site hosting server. *I* don't have any way of supporting this plugin with WordPress running on a MS-Windows server. There have also been problems with this plugin with WordPress running as a multi-site or networked installation (I don't know what the problem there is, but I suspect it is some weirdness with users and roles in that environment or something).