1. Go to the Reset Password . However to be able to complete this process, you need to remember either your secret answer or your alternate email id. Also make sure that your alternate email id is different from the mail id, whose password you do not remember. A lot of people keep the alternate email id the same as the mail id. So you keep getting the password reset instructions on the same email id you lost access to.
2. If you are unable to retrieve the password using the above method, check out the Windows Live ID Validation Page. This page contains key questions about your account whose answers supposedly, only you know. Make sure you answer the questions carefully as this helps the Support Agents validate your identity through the answers. The support team is very active and usually get back to you within 24 hours. So be patient and be nice to them :)
More details : http://windowslivehelp.com/solutions/accounts/archive/2008/10/27/how-do-i-reset-my-password.aspx