I'm a little confused as to what issue your having; but I'm happy to help. Let me have a poke at it....
1. You create an email to send in Word (what version by the way? as there's many different options in the various versions)
2. You send it to email
3. Windows live mail opens
4. The email appears in windows live mail in an unknown format (is it as an attachment?)
5. You send it anyway (to yourself for testing)
6. But you never get it
If I have this wrong, please correct me
and throw up some screen prints so we can see what you see.
If I have this right, please answer my two questions in the steps and also check your sent items to see if it was sent legitimately.