You can create a confirmation email by heading to content and selecting confirmation emails. Have you already created an email? Select the email and click on change HTML.
If you want to create a new email, select add and enter all information (name, template, language, subject line, sender name, sender address and reply address).
You can set up a confirmation email by going to content and system pages. When you change the subscribe plugin by clicking on change in the menu, you can select the right confirmation email.