The
first thing you need to do is to decide what functions you want to
use and define rules. You can accomplish these tasks on the 'Inbound
messages' page

Mail Them Pro can
handle 3 types of messages -subscribe requests, unsubscribe requests
and bounced messages. It recognizes these messages by subject line.
The program comes with predefined subject lines which are usually
used for these types of messages. You can see it on the picture above
on the left side. For example, Mail Them Pro will decede that incoming
email is a subscribe request if a message has in a subject line the
word 'subscribe'. If you want you can add additional words for subject
lines for all types of requests.
The next part is
to decide what you want to do with these requests. You may want to
add them to addresses to send or delete them or add to excluded addresses.
You can define 2 or 3 actions for each request. You can see these
action on the right side of the picture above. In most cases you will
want to delete all these requests from a mail server but pay attention
that by default the program doesn't delete them
After you defined
all rules you need to setup an email account you want to use to handle
these requests. This email account must be a POP3 account. Usually
it's provided by your ISP or hosting company. You can defined it on
the 'Options' page

On the picture above
you can see where in the program you should setup your POP3 email
account. In your case it'll be your own email which you got from your
ISP or hosting company.
You can put a form
on your web site where you can ask people to subscribe to your newsletter.
You need to write a script where an email will be sent from your recipient's
email address to your email which you setup with the subject line
'subscribe'
Now we are ready
to send our newsletter. Make sure that you entered your email address
to 'Personal information' section like on the picture above. Then
prepare your email and write somewhere at the end.
If you do not
want to get any news from us then reply to this email with the subject
line 'remove'
And then send your
newsletter. Now you can wait for some time and then press "Check
email' button. You will see a new window where you can see what's
happening in your mailbox

After it will finish
processing you can go to the 'Addresses' page and see the results