Baaj Temple is the first place Tidus goes to after his Zanarkand, where you fight that giant fish underwater, and where you first meet Rikku.

Go back using the Airship's Search function (X-Axis 11-16, Y-Axis 57-63). After you get some sweet revenge on that fish, dive down to find the temple. When you've gotten all the bonus items from the trials, the seal will vanish and you'll learn more about Seymour and also receive Anima.

If you find that only five of the statues light up, then you're probably missing the Zanarkand Ruins part. Even if you've collected all the treasures, you need to go back and do the Trials again. Luckily it's pretty simple; just activate the white blocks and you'll gain a weapon for Yuna. Also, if you're playing the PAL versions and need to go back to Besaid or Macalania, there'll be Dark Aeons waiting for you. Zanmato will take them out, though.