When users subscribe and/or unsubscribe from your lists you can choose to require their confirmation by email.
On your list settings page (when adding or editing a list) you will see an Opt-In/Opt-Out tab.

When you choose this tab you will be able to choose the confirmation set for that list. You can also add a new confirmation set or modify an existing set. A single confirmation set can be used on any number of lists.
Creating a new confirmation set
To create a new confirmation set go to Lists > Email Confirmation Sets. Click "add"
You can now enter the information for both the opt-in and opt-out emails.
Both messages should contain the text "%CONFIRMLINK%" This tag is where the link to confirm the opt-in or opt-out will go. If you want a link that has some text to confirm you can insert HTML like "<a href="%CONFIRMLINK%">Click here to confirm</a>
Turing off opt-in and/or opt-out
If you wish to disable one or both confirmations simply choose the "No" radio button by the "Confirm Opt-In" and/or "Confirm Opt-Out" sections. Please note that you should keep the opt-in on at most times to comply with email sending laws.