I am also having the same issue. I get the message "You'll need to set up the MailChimp signup widget plugin options before using it". You can make your changes here. But on clicking HERE, the link goes nowhere. Looking at the url when i hover over the link, I realise that it is pointing to the same page that I am currently on, hence why the link stays on the same page.
The link points to mysite/wp-admin/options-general.php?page=mailchimp-widget/lib/ns_mc_plugin.class.php (the link in the widget area points to the same place)
I also tried replacing the end of the url with mcapi.class.php in the browser, it takes me to a page which says i do not have sufficient permissions to access.
I am using version 1.2.4 with WP 3.2.1 (it says its compatible up to 3.1.4 but some ppl said that they got it to work with 3.2 soo..)... Hope this clarifies the problem.
So, I will try putting in the API the way the user above suggested.