First of all, .pst files are used by Outlook and have nothing to do with Windows Live Mail (WLM). WLM stores messages as individual .eml files.
WLM has separate Inboxes, etc. for each email account you access.
However, WLM also has Quickviews, which can let you view the contents of certain folders in certain ways, as in All Inbox, All Unread, All Mail, etc.
I suspect you are seeing one of these views.
You can also create rules to move messages into designated Storage Folders, so you could see messages from different accounts in one of those folders.