Subscription not being added after successful payment

After paying with paypal express it does not re-direct the user back to my site. It also does not add the subscription to the user account either.

What steps should I take to troubleshoot this? I'm using Paypal Express in Live Mode. How do I get Paypal to redirect the user back to my site after payment is completed? Does the user have to be re-directed back in order for the subscription to be added?