After much research in the internet and reading through blogs and help sites, I finally found the solution as to why my Subscribe2 was not sending out a confirmation email when a new subscriber entered their email address on the form.  In addition, a confirmation email was not sent out. 

It is important that you set up a Word Press page to display the subscription form.  When creating the page, you may click the “S2” button on the QuickBar to automatically insert the subscribe2 token.  This token will automatically be replaced by dynamic subscription information and will display all forms and messages as necessary. I named the page “Subscribe”.

Next, make sure in the WordPress “Settings” area for Subscribe2 select the page name in the “Appearance” section that of the WordPress page you just created, “Subscribe”, in this case.

I did this and it now works!