Without seeing your actual code, I cannot point out what exactly is wrong. Either way, have a look at the code below and compare it to your own.
<?php
$to = 'your-subscribed-user@domain.com*';
$subject = 'The Subject*';
$message = 'The user\'s message.*';
$headers = 'From: yoursite@domain.com' . "\r\n" .
'Reply-To: webmaster@yourdot.com' . "\r\n";
mail(...);
?>
Now, before anything, please note the * symbols which represent dynamic variables. In other words, the $to, $subject (if available) and $message are variables whose content must be filled by the user when subscribing. The most relevant part is the $headers variable, which contains the From: and Reply-To: parameter. These will tell the mailing-system who to reply to, and essentially, who/where the email came from (in this case, from you).
Hope that helps!