Oh, ok, when you said 'get it working with...' I thought you were expecting it to auto-populate the username/passwd in Live Messenger...
The basic steps would be:
1. Create an account in PWM for your Live Messenger password
2. Set the Account settings the way you want... at a minimum, I'd set the 'Using text' field to the Windows Live URL, and maybe also add your username into the appropriate field, even though it won't get auto-populated for you (this way you could have more than one Live Messenger account with PWM). Be sure to establish if there are any character restrictions imposed on a Live Messenger password and change the character set accordingly (if necessary)
To use the new account:
1. Open Firefox
2. Open PWM (ctrl-`)
3. Select the account you just created
4. Enter the desired MPW
Now, the password is generated, and you can copy/paste it to the pasword field for Live Messenger... but will only work once you have changed your Live Messenger to use it...
hth