Before enabling SPF and DKIM you will have to validate your domain in Mailchimp.
Once verified you will see a red cross under your domain showing that your domain has not been authenticated. If you click on the View Setup Instructions, a modal will appear showing you what CNAME record you need to create and the values for it in order to have DKIM configured. The CNAME records need to be entered in your DNS, so you will have to login into your DNS provider control panel. The CNAME records should look like this where you will change yoursite.com with your real domain name.
If you encounter any errors while creating the CNAME records, please refer to your DNS provider for help as they may not support some of the formatting of the record.
Adding SPF for MailChimp for DMARC purposes is not needed because the return-path is set to their domain in order to track bounces and unsubscribes. SPF alignment will not pass for MailChimp for this reason; however, as long as DKIM is passing the messages will be DMARC compliant.
For more information please refer to MailChimp's guide on how to authenticate your email.
If you need further clarification on what SPF and DKIM are please refer to these articles:
Instantly test your Mailchimp configuration
OnDMARC’s free tool Investigate lets you verify your Mailchimp configuration set up to ensure they actually authenticate your emails correctly.