I'm not an expert on the whole Windows Live group of products. I use Yahoo! and Google and that's more than enough.
But my guess is that you don't need to download their mail program.
Their download page for Messenger
http://download.live.com/?sku=messenger&wa=wsignin1.0
has a link to a page for downloading their mail program, but they're only requiring you to download Messenger.
You can keep using the mail program you already have.
About important e-mail:
If you do decide to upgrade your e-mail program, it won't delete any of your mail. If it did that would be a major scandal and would make the company look bad.
On the other hand, an inbox is not absolutely 100% safe. If you have a POP mail account like Microsoft Outlook Express, there is a tiny chance that your inbox file could become corrupted someday and your mail could be lost.
If you use a webmail account like Hotmail, and you go on a three month vacation without checking your e-mail, there is a chance that Microsoft could think you've abandoned your account and could delete your e-mail.
I think this is a problem with all computer files. Any file could become corrupted. Any hard drive can crash.
Maybe the thing to do is use every solution at the same time.
Use a 'Save As' or 'Export' command when you're looking at an e-mail message to save it as a normal file on your hard drive. I guess that feature isn't available in all e-mail programs, such as webmail programs.
Buy an external hard drive and make back-up copies of all of your hard drive.
Then set up an old computer with an e-mail account and forward a copy of all your most important e-mail there.
The print out your most important e-mail on paper and put it in a safe place.
Then, most importantly, copy and paste the important information itself in your e-mail into a Microsoft Word document or a Wordpad document and organize it well so you can find the information you need.
You would think computers would be making all of these chores easier. The problem is that when we save e-mail today, we have to save the software along with it if we want to read those e-mail messages twenty years from now, because the software then may not be compatible with the e-mail we save now.
Paper has its advantages.
I guess that's a good argument in favor of using plain text files (Using Windows Notepad*). Files saved as plain text today will still be readable twenty or thirty years from now. Maybe forever.
*Or SimpleText or TextEdit on a Mac.