First, create the game directory. PHost comes with some example configuration files in the config/ subdirectory; pick one, copy it into the game directory and rename it to pconfig.src. Likewise, pick the relevant file from the shiplist/ directory and place it in the game directory as shiplist.txt.
Edit the pconfig.src file to suit your taste. All possible configuration options are described on the configuration page.
The shiplist.txt file contains ship-list specific configuration options and the special ship abilities and generally remains unchanged.
The Classic Way
Alternatively, you can ignore shiplist.txt and put all PHost configuration options into pconfig.src, and the special ship abilities into hullfunc.txt -- like it used to be in PHost 3.x. We recommend you to use the above, "new" way, though, because it reduces the complexity of the per-game configuration compared to the huge monolithic chunk of configuration used in PHost 3.x. Ideally, shiplist.txt is a never-changing part of the ship list, much like hullspec.dat.