A list contains your subscribers who you send your campaigns to. The list will contain information such as first/last name, email address, phone numbers, street address and so on, you can customise this and select what you get from your subscribers in the sign up forms.
To create your list you need to log into your MailChimp account and select Lists > Create List.
Here you need to fill out your List information, when you click on each box it gives you a short explanation of what you should put in each box.
Then select how you would want to be notified on changes to your list.
Once you have created your list you will need to import your email addresses. If you have none then you need to create a sign up form, even if you have emails ready to import you should still create a sign up form. Learn how to here:
COURSE: CREATE SIGN UP FORMS
Want to import your email addresses you have already?