I've managed to go a little further.
I have started from scratch. I have created to web sites and two mail domains. The first is example.com and the second is lists.example.com.
I have created a list for the lists.example.com and now i can access the url http://lists.example.com/cgi-bin/mailman/admin/<list>, but it only displays
Bug in Mailman version <undetermined>
and the email for the administrator has not been received. I can't find something useful on the logs (or i'm looking at wrong places).
I have followed the ispconfig's manual procedure numerous times without success.