To edit the default message go to Edit Messages and at the bottom edit:
Confirm Your Email (Double-Optin) Email
Also, when editing a contact group there is the option to add/edit a specific message for that group.
When using double optin, the instant message is sent when a person clicks the confirmation link in the email that is sent.
You can create optin forms using HTML form creator.
You can add custom fields and copy/paste the code to your 3rd party website.