When I installed this Mailchimp Widget plugin into my WP site, which was in a subdirectory of my domain, rather than the root directory, the "You'll need to set up the MailChimp signup widget plugin options before using it. You can make your changes here." link did not work. This is because on Line 134 of the mailchimp-widget/lib/ns_mc_plugin.class.php, the URL is hardcoded to "/wp-admin/options-general.php?page=mailchimp-widget/lib/ns_mc_plugin.class.php"
Since this link appears in the admin area of the WP site, and all admin pages are on the same /wp-admin/ level, I believe you could remove the "/wp-admin/" from the HREF, and the link will work regardless of where the WP site is installed.