if you registered a non-hotmail email address, use the normal method used to get to your email.
For example, if you have registered an @gmail.com address, go to
http://mail.google.com , sign in and look for a verification email with a link, you need to click this link to ensure the email address is valid according to Windows Live Servers.
If you registered for a hotmail account, you shouldn't have a problem apart from signing in just after you register and ensure you set everything up properly.
Note: if you use a non-hotmail email address, the email button in Windows Live messenger will take you directly to your email program in most cases.
/ 
