Open Windows Live, click on Tools and then Accounts:

Click the Add button on the right when the Accounts window opens.

Click on E-mail Account and then click Next

Enter your full E-mail address in the E-Mail address field and then enter your E-mail password in the Password field.  Leave the Remember password box checked if you want Windows Live Mail to remember your password.  Fill out the Display Name box with the name you want people to see when you send them E-mail.  Click Next to continue.

Windows Live Mail will attempt to automatically detect your settings based on your E-mail address.  If it is successful, you will see the following window indicating your configuration is complete.  Click Finish to begin using Windows Live Mail.

If Windows Live is not able to detect your settings automatically, you will be prompted to complete them yourself.

Reference article http://support.earthlink.net/email/email-server-settings.php if you need to confirm you incoming and outgoing server settings.

You will need to do the following:

• Fill out the Incoming Server
• Fill out the Login ID with your E-mail username (the first part of your E-mail address before the @)
• Fill out the Outgoing Server
• Change the Outgoing Server Port to 587
• Check the box that says My outgoing server requires authentication

Click Next when you are done.

You can now start using Windows Live Mail.  Click Finish.

Here is a short video walk-through of the setup process.