For about a year, this was one of my favorite plugins and I implemented it on a dozen WordPress sites where it did a fine job. I liked it, our clients saw results. It was 'all good'.
When 2.9 was installed on a new site and I included the latest version of this plugin, it appeared we were going to have the latest and greatest. As it turns out - not so much the greatest.
The latest version of the plugin (despite what the developer says in their forum), does NOT update your installation options on the Admin site of your WordPress blog. As a result, you need to either use an OLD version of the plugin, use it completely 'plain vanilla' as it comes in the download, or seek another plugin option.
Too bad, it used to be great and an excellent 'front door' to using their paid newsletter product. Now it's just a waste of time.
http://wordpress.org/extend/plugins/g-lock-double-opt-in-manager/