Do Check :
Step 1 >> Go to Your Feed burner Home page http://feedburner.google.com/
Step 3 >> After Creating a Successfully feed open dashboard in homepage of feedburner. Click on the any feed and click on Publicize .
Step 4 >> Chose Email Subscription and you can see Activate option click on the Activate Button.
Thats it You Activated the the Auto Newsletter system Now you need to add widget to you blog or site copy the html code and paste in any widget into your site then your subscriber will be able to subscribe for the email newsletter.