(If you always read mail using a single copy of Windows Live Mail, using IMAP won't make a difference and probably isn't worth the effort.) For example, if you use both Windows Live Mail and Webmail, each program will know what messages you've read, and the two programs will share a single 'sent mail' folder on the server. Keeping your messages on our servers can be useful if you read mail two completely different ways.
Using IMAP (instead of the more widely used 'POP3') allows you to keep your messages on our servers instead of downloading them to your computer. With Windows Live Mail, you can optionally use IMAP connections for reading incoming mail. To see a more detailed answer customized for you, type your e-mail address here: