You need to change your browser settings...

If you do not have a desktop email client set as your default handler, Windows Live Messenger just loads the webpage for your Hotmail webmail account; it does not log you in automatically. You need to change your browser settings to keep the cookies between browser sessions, not log out when you are done, and, if necessary, change your Hotmail account security settings to let you remain logged in for extended periods of time.

Or you could just use a desktop email application such as Windows Live Mail...

John