Open Windows Live Mail.

If you are opening it for the first time the e-mail setup dialog box should automatically appear, if not...

On the menu bar go to left panel and press 'Add new e-mail account'

Enter your e-mail address, password and desired Display Name.

Then click the 'Next > ' button

Make sure the first drop down option is set to POP3

Set both incoming and outgoing server address fields to: mail.yourdomain.com
Be sure to replace 'yourdomain.com' with your domain.
Enter your e-mail address into the Login ID field

Tick the option 'My outgoing server requires authentication'

Now click the 'Next > ' button

In the next window press 'Finish'

Windows Live Mail will check the settings and search for mail, you will see the result down the bottom right of the program window

If you are presented with an error right click on the account in the left panel and remove it. Go through the guide again and double check your enetered settings.