I had this problem too as couldn't find any instructions with the download for configuring the webpart.
I found the instructions via the help button on the wepart itself which made it clear HOWEVER….
The instructions relate to an EDIT Button on all the display options, for example an Edit button will drop down a list of all lists to pick from, all columns too etc
But I don't have an edit Button on mine, hence why I am unable to configure it and hence why it wasn't obvious how to do so.
Any Ideas why I am missing this from the webpart ? (It appeared to install OK, am using SP 2007)
Thanks! Julie