You can go to a site like
http://mxtoolbox.com/blacklists.aspx to see if your mail server is blacklisted. I had that problem and I got my ISP to remove the blacklist. Sometimes your own members can cause you to get blacklisted because there is no built in opt-out feature in mass-mail, and if you have enough members that move your message to the spam folder then popular email providers like gmail, yahoo, hotmail will move all your future mail to anyones spam folder unless they manually whitelist your domain name.
On my welcome letters and on the e-mail confirmation page I state the domain that the member needs to white-list and tell them to check their spam folder for the email confirmation. You need to put it exactly where the member will see it first (email confirmation page) because they will rarely go to FAQ page and you might lose that member. So I'd say put on e-mail confirmation page, faq, and in welcome letter.