Was this address book from "Outlook Express" (not Microsoft Outlook)? If from OE, the free email program that came with Windows XP, it would be a single file with the extension .wab. If so, don't click on it. Also make sure you have installed the program called "Windows Live Mail" and that you are not referring to Live Mail, also known as Hotmail, accessible via any web browser. If you have both a *.wab file and WLM on your PC, you can import the address book into WLM contacts section by first going to the "contacts" page in the WLM application and choosing Import/Windows Address Book (.WAB).
OTOH, if you were using Microsoft Outlook (the paid program) you are performaing a "downgrade" to WLM from Microsoft's point of view. In that case you will have to look for an export file associated with Outlook and use that assuming it's one of the possibilities listed in WLM's Import options (e.g. "Microsoft Office Outlook Address Book" or "comma separated values"). If you have already imported the address book you want in to the Windows Explorer Contacts folder (c:/<username>/Contacts) then you would choose "Address book for current Windows user".