Mailman needs quite some configuration. Have a look at
/usr/local/share/doc/mailman/README.OpenBSD to find out
what you have to do, to get mailman up and running.

If you are upgrading from mailman 2.0.x make sure to read
/usr/local/share/doc/mailman/UPGRADING and run 
/usr/local/lib/mailman/bin/update as root.
