Update 2/sep/2012: Feedburner being phased out?. Check: 'Is to time to let Feedburner burn?'
Setting it up was pretty simple (and is hopefully one day a one-button-solution..).
1. Copy the url of the feed (click the subscribe to RSS feed and select the url ending in e.g. ../rss.php)
2. Go to http://feedburner.google.com/
3. Create a new feed (under: 'Burn a feed right this instant')
4. Open the tab 'Publicize' and enable 'E-mail subsciptions'
5. On the same tab, use 'Preview Subscription link..' and enter your e-mail address
6. Confirm the subscription in your inbox and.. done.