Okay, this has nothing to do with .NET but I can't any better place to put it here (maybe a General topic would be handy here).
If you want to setup your mailing lists then you'll need to first submit a support ticket asking to do so. Once it's been completed (and they'll provide instructions) then you can log into lists.yourdomain.com with the userid of postmaster@yourdomain.com (replacing yourdomain.com with well, your domain). The password will be the same as your control panel password. Then just setup your lists and go to town.
Again, I don't know why a) this isn't just a button we can press to have it happen automatically or have it turned on by default and b) the instructions are not posted in the FAQ (say under "How do I setup my mailing list"). It's not like it's confidential or anything and if I loose my support ticket with this info (or forget that's where it is) I'll never remember how to get back to it.
So hopefully if you search the forums for it you'll find this message now.
I've stayed on the old mail server for just this reason. I have a number of mailing lists, and the new wh4l mailing list support is suboptimal, to say the least. Several of my lists have been active for many years, and to change the list address from ListName@MyDomain.com to ListName@lists.MyDomain.com just isn't an option.
So, I continue to use the old mail server. Eventually, I assume that wh4l will shutdown the servers, and I'll have to leave this place for a new provider.