It shouldn't take long, maybe about 2-10 minutes, but in rare cases it's taken longer. Be sure to check your email's junk folder, just in case. Don't worry about it too much, though, you have full playability even before confirming your email. There's just a 12-day limit or something. The reason they did this was to try to deter people from having 100+ names (you can only have 10 per email address.)
If it doesn't arrive, you should be able to set it again by saying
setemail blah@blah.com