I know this is an old thread, but I'm posting this anyway as I have been jacking with this problem for 4 days, and I'm sure other new Win 7/Windows Live Mail are, too.
Was annoyed, having been a Windows Mail user (Vista) that I was not getting new email (received) notification in the Sys Tray (very lower right corner). I have no idea why this worked, but it did. See Kari's post above (2nd post in this thread).....the last pic IN that post. BOTH the Default Message programs needed to be LIGHT gray (grayed out), AND you need the WLM icon in the sys tray showing. After changing the default msg programs to light gray, AT LAST I am receiving new mail notification in the sys tray!! The WLM icon is ALWAYS there, but when i new message arrives, the icon changes (see the 3rd pic in Kari's email above).
Don't know if it will work for you, but it worked for me. Hope this saves someone the 4 days of teeth gnashing I have just endured!!