Hotmail is essentially web-based email, using a browser to access your messages. Whereas WLM is a program installed on your computer that you use to achieve the same - similar to OE.
click here / click here to import emails into Win7 WLM from OE.
click here if you'd like to setup your Hotmail email account in Windows Live Mail.
If you're used to OE, then I'd suggest trying Thunderbird click here (same people who make Firefox), especially if you cannot get on with WLM. G