If you have just installed PHPlist and get this message, make sure that your Apache configuration has somewhere
DirectoryIndex index.php index.htmlor that at least index.php is mentioned before index.html
For other webservers please consult your manual to find how to make index.php be the default document for a directory.
Alternatively you can delete the file "index.html" in the lists directory of PHPlist
You probably want to be here or here.