This isn't the easiest thing to do - it requires a hack.
You would need to utilize "signup-xtra.php", which can be found in the /xtra folder of the ZIP. Copy this file to your main ListMail folder and it will run after every signup and optionally after manual additions.
In the signup-xtra.php file, below the header (bunch of comments) and above the footer (PHP closing tag ?>), place code similar to as follows:
// only runs after subscription to list 1
if($list=='1'){
mail($email,"Subject","Click here to confirm your subscription!
http://site.com/mail/confirm.php?u=$uid
Thanks!","From: \"Your Newsletter\" <news@site.com>\nReturn-path: bounce@site.com");
}
Replace "site.com/mail" with your ListMail URL, Subject with your subject, modify the message to your liking, set the "From" name and email address to what you use for the list, and set the Return-path to your ListMail "bounce to email address".
Note: Any double-quotes in your subject or message body will need to be "escaped", ie: \" instead of "