To add a new email account click on Email on the Accounts tab at the top of the main Windows Live Mail screen

 

You will then be presented with the following dialog box where you can enter you email address, password and the name you want displayed when sending emails

 

 

In most cases Live Mail will automatically detect all the settings and set the email account up for you, but if it doesn't you will be presented with the following screen where you can enter the additional settings required

 

 

Settings for some of the most popular email/internet providers can be found here