As ZigZag mentioned, it's not possible to do it as it is in Outlook. Outlook allows you to send a mail message as an editable document to Onenote.
However, if you just want a copy of a Windows Live Mail message to Onenote, without need to edit it later, it's possible to send it as an image. Do like this:
- Right click the message in WLM you want to send to Onenote
- Select Print from context menu
- Select Send to Onenote as printer, click Print
- Select the notebook where you want the message to be saved
- Done. The message is in Onenote as an image:
This method can be used to send data from any application to Onenote. Simply print, choosing Send to Onenote
as the printer.