Usually you can also print proof of insurance off their website (was the case with all car insurance I've ever taken out in UK).
If not and as said above you will get some sort of confirmation email. Print that and take it with, it will have the policy number on there, then write down their customer support telephone number should that not be in email anyway.
In case the police computer flags you as having no insurance and get stopped you can call the number and ask them to confirm to the traffic officer that you just took insurance out and are covered and just waiting for documents to be posted.
