Setting up Mailman on a server is a tough job.

Is there a script that could setup it all at once?

I wouldn't recommend you to use Mailman, exactly for that reason: it's very hard to setup in a virtual host environment. We use MLMMJ instead which is really the best mailing list manager we have found. It took us almost a year to select what manager to use, and it's been 2 years we use this one. We do not regret our choice at all.

Note that MLMMJ is currently used to manage all the lists of the SUSE distribution, and some other major lists elsewhere.

Thomas