This is usually caused by providing the wrong name in the "uri" query parameter (for example, by adding spaces around it, or providing the full URL "
http://feeds.feedburner.com/something" instead of just "something").
The correct HTML code can be found in the FeedBurner control panel under the Email Subscriptions service. You should be able to copy this to your site verbatim.
If you need more specific help, be sure to post a link to your blog, otherwise it's impossible to tell what went wrong.
- Maks.