Well, I finally got this sorted out
It's a bit tricky, as you will have to go down to PHP code
The file you have to modify is:
modules/Emails/Email.php
find this:
PHP Code:
$mail->Sender = $mail->From; /* set Return-Path field [...] */
$mail->AddReplyTo($mail->From,$mail->FromName);
And then add this below it:
PHP Code:
// Adds reading confirmation to every message sent.
// ditman, GdTIC, May - 4th - 2007
$mail->ConfirmReadingTo = $mail->From;
// End of patch
And that's all
Just save the file and send an email 
Hope this helps someone
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