WLM by default syncs up with what's on the server. http://superuser.com/questions/236684/prevent-windows-live-mail-to-download-all-messages-from-imap notes you can set it to other options.
But my bet is you'll have to be offline to change it.
Each time I open WLM my email inbox starts to download every email that I have ever had!!! Why is it doing this and how do I stop it?