If you have a web site and are managing the files for it, you'll use FTP (File Transfer Protocol) client software to upload and download files. If you don't have one, consider searching for a free FTP client.
Connect to your server, usually at the hostname ftp.example.com or just example.com on port 21. Create a sub-directory for ListMailPRO in your main web directory, often /public_html. You can name this directory anything you want, like /mail. It's up to you. The directory ListMailPRO is installed to doesn't affect it's operation – you specify the directory you installed it to later in the Config menu.
Once you've created the sub-directory, upload all of the ListMailPRO files and folders to it.
Next: /attach Folder