And the email I send has the subject: "Please confirm your subscription"
Between the two, the message is fairly clear. Yet, I still receive emails from novice users once in a while, who aren't familiar with the concept of "confirming" a subscription. Usability isn't easy.
That is, downsized screenshot, with graphics drawn on top. I think the original looks too much like a real window.
Maybe even have a popup that triggers if that link is clicked that says something like: "Sorry, this is just a screenshot. Please check your email inbox for this message"