You should have received the success message noted in the help files. It seems that this is not happening and the "TESTBOUNCE" message, which you shouldn't normally see, is instead being forwarded on to your administrator address.
In your DH control panel you should have 2 users under "Users". One for FTP to your site and the one for ListMail bounce (and cron).
In the "Mail", "Manage Email" section there should be an address, bounce@example.com, which forwards to the additional user where bounce.cgi is setup via shell.
ie:
Email Address
"Mailbox Name" Login
Disk / Max (%)
bounce@example.com
"ListMail Bounce and Cron" bounceuser
0 MB / 20480 MB (0%)*
Also forwards to:
Nothing besides "bounceuser".
In the past I have found DreamHost slightly buggy when applying a new email address to a new user during the new user creation process. To avoid any problems I usually go into Manage Email, click "Edit" next to the bounce user and then click "Edit Address" to re-update the email account.