Lets make sure you don't have it already. In the Start Menu search bar type - live mail.
Did you see a Windows Live Mail in the Programs category?
If not, you probably saw a Control Panel category option to 'Go online to get Windows Live Essentials'
You'll be able to get Windows Live Mail installed by following that link. Or use this link: http://download.live.com/wlmail
Live Essentials also gets you Live Messenger, Blogging, Photo Gallery, Movie Maker and Family Safety.
You can install only those programs you actually want.