After you've installed the package, you'll need to create or login to your Mailchimp account, which you can do at http://mailchimp.com/.
Once logged in, you will need to find or generate your API key which you can find at https://admin.mailchimp.com/account/api/
Copy your key, and then add a Mailchimp block to your page, and paste the key into the API Key box. Click the Check button which will retrieve your mailing list(s). If you haven't set any up, you'll need to visit https://admin.mailchimp.com/lists/ to do that. Once you've got at least one list, click the Check button again to retrieve the updated lists.