You should include an unsubscribe link in all your emails. If your recipients clicks this link, Direct Mail will automatically unsubscribe the person from your mailing list.
Unsubscribed addresses are shown in the Addresses tab with the email address crossed out and a purple X icon.
You can also find a list of the unsubscribes for each campaign in the Reports tab. Select the campaign you are interested in and the click the “Unsubscribes” section of the report.
When you send your next email campaign, Direct Mail will automatically skip over anyone that has unsubscribed (you're not billed for them, either).