When you have installed Virto SharePoint Cross Site Lookup and activated it, you need to adjust the feature to work in a proper way.
Since Virto SharePoint Cross Site lookup is supposed to work with SharePoint lists of current site collection, you need to create a list you are going to work with and adjust the feature.
Below is an example of Cross Site Lookup usage. For example, you need to aggregate information from a list of clients which are grouped by countries and cities (country may include several cities).