Check that you have an auto-responder connected to your account. See this tutorial
Edit the bar with the option form, select "Opt-In" from the menu, then "Email Settings"
Make sure that an auto-responder has been selected from the dropdown, and select the list you wish to add the subscriber to. When you are done "Save Changes"
If your autoresponder account is set up for confirmed opt-in then your lead may not appear in your account until they have confirmed.