I hope it helps as I don't use WLM.
The reading pane on the right side of the Mail page allows you to read and respond to mail without leaving the Inbox. To change the position of the preview pane, or remove it altogether:
1. In the upper-right corner of the page, click Options, and then click More options.
2. Under Customize your mail, click Reading pane settings.
3. Under Reading pane settings, select Right, Bottom, or Off.
Under When you first open your Inbox or another folder, set the reading pane to, select Show the first message automatically or Show a message only after you select it.
4. Click Save.
Does that do it?
I've tried everything and cannot close the preview pane on Windows Live Mail in Windows 7