This is an issue with Feedburner. Either you're putting in the your Feedburner ID incorrectly or the feed isn't setup in Feedburner to allow for e-mail subscriptions.
To ensure you have the right FeedBurner feed ID, whatever is after "http://feeds.feedburner.com/" is your ID.
So, if your feed's address is http://feeds.feedburner.com/FooBar , then "FooBar" is your ID. If it is http://feeds.feedburner.com/FooBar/34f42 , then it is FooBar/34f42
To ensure FeedBurner's e-mail settings are active, log into Feedburner, click on your feed's name, click Publicize, click E-Mail Subscription.