Unfortunately, this isn't enough information.

Windows Live Mail can mean 2 things:
1. The program you download and install (part of the Windows Live essentials suite). This is like Outlook Express and Thunderbird, uses a pop3-account and stores mail and addresses locally.
2. The webbased mail-service (known as hotmail when it started) offered by Microsoft. Your mail-account is accessed via a browser and all data (mails and addresses) are stored on a Microsoft server.
To make it even more complex, I think the #2 account can be accessed with the #1 program also.

For Outlook we have the situation that in companies it's mostly used to view data stored on the companies Exchange server. When used at home, it's mostly used as a stand-alone pop3-server, but it can also be coupled to a #2 Windows Live hotmail account via the Microsoft Office Outlook connector.

With both the source and the target being unclear, it's impossible to tell what best to do. Also it might make a difference if it that Outlook and that WLML are on the same machine, or that this is part of implementation of a new Windows 7 PC where you want to get your data from the old PC.
So please tell more.