In Win XP, clicking the "Set as default email client" in Windows Live Mail Options may fail, if Office Outlook was installed after Live Mail, and if you're logged into a Limited, non-administrator Windows account.

To resolve that, log into your Windows Administrator account, click "Set Program Access and Defaults" on the Start menu, expand the "Custom" section, and choose Windows Live Mail as the default.

Then, log back into your Limited account, and Windows Live Mail should be your default mail client.