The "Mailing Lists" widget lets users sign up for a mailing list at MailChimp. First, you will need register an account with MailChimp to set up the mailing list and then enter the API key to your MailChimp account in your site settings.
Once that is set up, configuring the box will let you choose one of your lists.
This "Mailing Lists" widget shown below displays the box which can be configured to display a signup form or as a link that opens a popup.
This is the form that will appear for you to subscribe to a mailing list.