Probably because you don't have your email account set up properly.
It would have been helpful if you had included the complete error message.
Are you trying to set up your Live.com account in Windows Mail?
If so, use the settings given here: http://mailcall.spaces.live.com/Blog/cns!CC9301187A51FE33!49799.entry
Use port 587 rather than port 25 for the SMTP server.