Did just as you suggested so hopefully after the "period" all will be well and i shall be rid of Windows live ID for good.
I did get this message whilst carrying out the procedure;
<LI style="DISPLAY: block" id=iHotmailErr class="Hide HotmailErr">There is a Microsoft e-mail account (Windows Live Hotmail) associated with your account, so you can't close your Windows Live account immediately. To close your Windows Live account, you need to close your Microsoft e-mail account first. After a period of inactivity, your Windows Live account will automatically be closed. Close your Microsoft account
This is why I had to go back to the Hotmail Account and close that first and of course once closed there is no option to log out!
Thanks for all your help, hopefully one day in the not too distant future I will not see that annoying pop up all the time. Was going to discard Windows live Mail completely but I quite like it and saw as the alternative the Firefox email program. Looked at that and didn't like it at all. Very slow and heavy going compared to Live Mail.