If your SPF records have not been set up, you're in the right place. If they have been, sometimes it takes a long time (up to 48 hours) for the DNS changes for TXT records to propagate.
You can use this query tool to monitor the status of your SPF records: http://www.kitterman.com/spf/validate.html. Just type in your domain name in the "Domain name" field and click "Get SPF record (if any)".
You should see something like:
> Found v=spf1 record for yourdomain.com:
> v=spf1 a mx include:authsmtp.com ?all
> SPF record passed validation test with pySPF (Python SPF library)!
If you get this result, you can return to Blinksale and click "I have set up the SPF record".
If you don't get this message, then something is wrong on the DNS configuration side. You should double check that the records have been set up properly, and wait a while before trying again.