Nokia does not (officially) offer Windows Live support in the accounts list.
Here are several easy steps I found to make the magic happen:
1. Configure your Windows Live/Hotmail account as Mail for Exchange (the blue icon)
Email address: firstname.lastname@example.org
username: email@example.com (full address)
password: your Windows Live password (NOT your gmail password)
domain: leave empty
Adjust your other schedule options and sync details.
2. At this point the account will not sync, due to problem with Microsoft servers. Many people reported this and MS have not resolved the matter.
Download a small tweak and install it. Run the MeMailSettings app from your phone's menu.
3. Use Easy Tweak Mode, choose your mail account, select Force EAS protocol version. (See screenshots below)
4. Enter 2.5 and press Save Settings. Close the app.
5. Restart your phone. Enjoy your fully synced N9+Outlook+Windows Live!