Steps:
1. Log into Parallels Plesk Panel as admin.
2. From the menu on the left, click Tools & Settings.
3. From the Mail section, click Set Up Mailing Lists Server.
4. Type a password into New password, and then retype the password to confirm it.
5. Click OK.
"Information: Mailman software was configured. Set Up Mailing Lists Server button will no longer be available on the Settings screen."
After you create your mailing lists, log in via SSH to "root" and type this command:
/sbin/service mailman start