The code you are using is:
{jrAnnika_live_wall target="activity_wall" template="annika_module_item_list.tpl" tpl_dir="jrAnnika" module="jrAction"}
You've added that to a "Template Code" widget.
Because your using it from a "Template Code" widget things are a little more confusing since the module is aimed at developers steps from editing templates are easier to follow when your editing them all in the same place.
The Site Builder system doesn't provide you with a way to edit the template your linking to with your call:
template="annika_module_item_list.tpl"
to put the second half of the code.
The location to adjust template code for 'annika_module_item_list' is at:
ACP -> SITE -> ANNIKA LIVE WALL -> TEMPLATES -> annika_module_item_list -> MODIFY