The newsreader side of Windows Mail has problems with News Server who host
many thousands of newsgroups. Most users have reported they cannot download
a complete list no matter how long they wait. It's a bug and hopefully it
will be fixed before too long. In the interim, if you know both the name of
the news server and the complete name of the newsgroup, you can always
create a subscription by going to the newsgroup via a link and when exiting,
it will ask if you want to subscribe.
As an example, to connect to a newsgroup (even with Windows Mail or Outlook
Express closed) you would just enter a link in the following format:
news://nameofnewsserver/nameofnewsgroup (with no spaces).