USB storage drive format makes Windows Live Mail backup impossible
If you use a USB thumb drive as your backup external system, check the formatting first. You may need to reformat it. Most come from the store formatted FAT32. You may want to reformat NTFS before using the drive.
WLM is really an updated version of the old Windows XP Outlook Express. If you like that product, and it has a huge following, you will want WLM when you move to Windows 7. This is the version of the product that is a local application that stores your mail and contacts on YOUR computer, not the Microsoft servers.
To back up your contact list, go to the contacts section, click on export. I recommend you choose comma separated values because it is universal and can be displayed in Excel. This can be very handy if you are away from your computer and need to use another one to get at some contact information.
The following applies only to backing up the MAIL part of WLM: To back up your mail, you need to be in the mail section and click on the small arrow in the top left and choose export mail. You want the WLM format. However, if your choice is a USB storage drive, make certain it is first formatted NTFS or you will be in for a mysterious outcome. You will not have a backup, even though you might be misled to think you have.
Unfortunately the export function will give you no clue that it is not really backing up, other than it may seem to be over too quickly, which you will only notice if you are watching carefully. Copying the files directly does not work either. It will appear to copy something, but if you check what it copied, it will not be what you want.