It is correct that Windows Mail does not send messages via HTTP.
However, as of February, Microsoft enabled POP access for free Hotmail/Live accounts.
Follow 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.
Although it accepts the newer Live.com addresses, Windows Mail's
account setup wizard is hard-coded to reject Hotmail and MSN addresses.
So, when you enter your Hotmail/MSN email address initially, use a fake
one, such as (e-mail address removed). After the account setup is complete,
go back and correct your email address.
Alternatively, you can upgrade to Windows Live Mail, which does handle
HTTP mail for Hotmail/MSN/Live.com accounts.:
http://download.live.com/wlmail