A list is a collection of subscribers that have opted in to receiving your emails.
To create your list, start from the Dashboard and go to List section. There you can click the "Create list" button to start setting up your list.
Creating a list is important because without any list you won't be able to start creating your campaigns.
Pick a good name for your list, so you can easily identify where your campaigns will be sent to.
Read more about segmentation.
If you don't have any subscribers yet, it's a good idea to add your own email address to your list, this way you can start testing campaigns.