Disqus requires you to register a new application with them in order to access their API and retrieve the latest comments posted on your site (don't worry it's easy!). This guide will walk you through the steps of doing so. Make sure you're logged into disqus as an administrator, then go to the disqus applications page and click "Register New Application".
Once you have registered your application, return to the disqus applications page and click on your new app. Scroll down and copy the value from the API key field into the API key field on your WordPress site.
Save your settings and you're done! You can new add disqus comments to any widgetized area of your site.