Windows Live integration helps you provide cool features like Single Sign On (SSO) and integration with other services like Hotmail, Skydrive etc. from your app.
Microsoft has a Windows Live SDK that provides wrappers around the core REST APIs used by windows live. Downloading the SDK is the easy part. To actually use it you need to configure your client to use the SDK and this means getting a key that gets exchanged between your app and the Live services. The process to do this is different for different kinds of apps.
For the Metro Style Applications this means the configurations need to be done in the Windows Store Dashboard (looks like you cannot get around this as the SDK does the checking. I assume you can get around this if you start using the REST APIs directly, but then you have the do all the low level plumbing yourself). The configuring part for Windows Store Apps are documented here.
Ok, the process seems simple enough, but then what about Windows Store Style apps that are not going into the store. Basically all those enterprise LOB apps that you may want to develop on WinRT, but obviously are not going to put into the public Windows store.
Well for the SDK to work, you need to configure the package in Windows Store. But the thing that is not well explained in the documentation is that your app need not be published in the store. i.e., it needs to be registered in the Windows Store, then the appropriate configurations done for Live to work, but it never needs to be published into the store. So for all those Enterprise, non-store apps, you still need to register them in the store, but the apps can be purely internal, without actually being published to the store. This means you will need to get a Windows Store account and pay up for that (if you have a MSDN subscription, you get this for free).
Also I wrote a wrapper over the Live SDK for some simple operations, once I get it to some kind of shape I may publish it. As of now it is too early.