Your phrase "to windows live" is confusing because "Windows Live"
includes a whole suite of different apps and services, see
http://www.windowslive.com/Get
If you mean you want to set up your Live.com or Hotmail.com account in
Windows Mail, use the settings given here:
http://mailcall.spaces.live.com/Blog/cns!CC9301187A51FE33!49799.entry
Use port 587 rather than port 25 for the SMTP server.
Although it accepts the newer Live.com addresses, Windows Mail's
account setup wizard is hard-coded to reject Hotmail and MSN addresses.
To get around that, when you enter your Hotmail/MSN email address initially,
use a fake one, such as (e-mail address removed). After the account setup is complete,
go back and correct your email address.