Setting up a mailing list under cpanel is more difficult than the average task because there are so many settings to configure. This program (otherwise known as Mailman) should never be used to send to groups of over 500 members as there is no way to limit the speed that the mail is sent at, so you will violate Internet Server’s TOS and the TOS at most other hosts. In most cases you should use phpList which can be found in cpanel under Fantastico or Softaculous.
This type of list will allow limited discussion amongst the members. If you are looking for this you will be better off using freely available forum software such as Simple Machines Forum. It will provide more options and the controls use descriptions that are easier to understand.
If you still want to set up a list here:
Click create new list. Fill in the name and password. Choose public or private (a public list anyone can sign up with a private one only you can approve them). Now click on the manage link next to the name of your new list. You will be asked for the password you entered a moment ago. You will now be presented with a large number of Configuration Categories and a few Other Administrative Activities.
Adjust them and test them out until you have your list configured the way you want it. The best way to do this is to find two or three friends or business associates who will let you add them to a testing list and give you feedback. Alternatively, if you have multiple e-mail addresses you can build a list of your own addresses and send e-mail to it as you adjust the settings in your account. Once you have everything configured to your satisfaction, copy your settings and build a real list to use them on. People cannot see each others’ addresses when you use a mailing list. They can only reply to the whole list.