The last step to complete before being able to import data from MailChimp or export data to MailChimp is to create a field map. This map will tell the add-on which field in your MailChimp database corresponds to which field in your ACT! database.
To create the field map, go to Options>Field Maps.... Note that your MailChimp Fields must have been created on the MailChimp server first.
You don't have to map every fields. Only the e-mail field is mandatory. If you don't map a field, it won't be imported.
Please note that your field map is specific to a MailChimp list and an ACT! database. Although you should probably not use one mailing list across two ACT! databases anyway, remember that the field map needs to be define in each one of your ACT! database.