John,
This usually means that your MySQL access information in config.php is not correct.
If you can set up MySQL databases in your web hosting control panel then you need to create a database, username and password, and MAY need to take a third step of adding the user to the database.
If you cannot set up MySQL databases in your web hosting control panel then you will need to ask your host for the correct database, username, and password to use with ListMail.
The information needs to be entered into config.php.txt and then the file needs to be saved as config.php, as below:
$sqlhost = 'localhost';
$sqluser = 'YOUR_USERNAME';
$sqlpass = 'YOUR_PASSWORD';
$sqldb = 'YOUR_DATABASE';
Your control panel or web host should indicate if the sqlhost variable should be something other than "localhost". It could need to be something like mysql.yoursite.com, but don't change it unless it's mentioned.