Mike N/A,
To set up your account on the iPhone, your live.com email account would need POP3, IMAP, or Exchange ActiveSync. Microsoft does not enable this support for free, but they will for an additional fee.
With that said, you can still access your email for free from Safari at mail.live.com
iPhone and iPod touch: Windows Live, Hotmail or MSN email Accounts
http://support.apple.com/kb/HT1694
Hope this helps,
Raleigh