Often the actual words of any error message can help identify where any errors might have occurred.

Do you see any error messages? If so, what do they say? Exact words please since such words are important.

I've seen a tutorial just now at IPage.com. I couldn't find one for setting up Windows live Mail specifically but I did find and watch the one for Outlook Express, which WLM replaced. I am assuming you also found that or similar help and followed the guidance. But just in case you didn't and there is anything different, that tutorial is at;

I know the way WLM is set out is different, but the method should be similar.

I was surprised to see in that tutorial where they said, after setting up OE, to "Remember that you also have to create that email address in your hosting account before it will work"

I don't pretend to understand that, but it seems strange that one would set up WLM 'before' setting up the actual email account.

Anyway, might be something there that helps, but if not, let us have those error messages.