My List is called "my first list"

Go to subscribers, above you see edit lists.
Click on edit lists. Click on the list you want to edit and you are done.

Also check this link:

https://www.ads-software.com/support/topic/create-a-new-listrename-list?replies=3

Yep, just go to Subscribers > Lists and you can edit or create new lists.

Thanks!

Solved, thanks guys.