Unfortunately, the email which that website sends out (to check that the email address you entered is really yours) is likely to get dumped by many peoples' antispam measures.
It's worth keeping a yahoo or hotmail mailbox just for this kind of purpose, and disable all antispam features on it.
Many people who use email have some kind of anti-spam feature at their ISP but they don't know anything about it, and lose loads of genuine emails as a result.