The folks over at Campaign Monitor re-tested some of the major web-based email clients. They found out that Windows Live Mail no longer supports styling links with CSS. Download a PDF summary of their findings here.
I recently found out that the only way I can get Windows Live Mail to underline my links is by putting underline tags within the a href tags... I wish that the Microsoft's, Yahoo's and AOL's of this world would just agree to using the same standards or at least provide us with an overview of what works and what doesn't in terms of coding!