Problem with setting up paid subscriptions through Paypal - accounts are not activating.

I've set up the membership plug-in and want to have 1 membership level that is paid for.

Everything seems ok, but when someone signs up and clicks the subscribe button, they get taken to Paypal where they can pay, but after that it nothing happens.
There is no re-direct back from PayPal to my site and althoough they can log-in (an account is created) They can't access any of the protected content.
Under the 'All Members' list I can see the accounts, but they are showing up as inactive.

I couldn't find much documentation on how to set this up so can someone please tell me if I've done something wrong or missed something.