...........should I change settings in gmail to POP or IMAP?
Google recommend IMAP so that's the one to enable in your Gmail settings. IMAP also enables your messages to be synchronised across all devices so it will prove handy if you've also got a tablet or smartphone.
Any other help in setting this up would be most appreciated.
The Windows Live Mail new email-account setup will probably automatically set itself up as IMAP. However, you may find that you get an error message that mentions your password when trying to access your mail. If you do then you'll have to enable Gmail's "less secure apps" option - you'll find it here.