In Windows Mail, go to Tools, Accounts, select your mail account,
Properties, Connection. What does it show for connection?
You should leave that setting unselected, in which case Windows Mail
will use whatever connection IE uses.
Also, under Tools, Options, Connection, the first box should be checked,
and the second box unchecked.
If all that checks out, but you still have the problem, the account may be corrupted.
Delete the account, restart Windows Mail, then recreate the account.
Gary VanderMolen, Microsoft MVP (Mail)