I thought the concept of identities was removed.
I set up Windows Live Mail and imported Outlook Express. I had two different identities (one for myself and one for another household member). Windows Live imported all address for both identities. This is less of a problem than that I cannot seem to find a way to set up Windows Live to access the other identity with a separate Inbox, contact list and storage/sent mail. Also some of the contacts have names attached and some don't. I also thought Window Live would coordinate with Hotmail Web like Outlook Express did some time ago.