How can I add my iCloud email account in Windows Live Mail?
The recomended way to sync iCloud email is through Outlook, as per Apple's iCloud PC setup guide

However as you are asking about Windows Mail I'm assuming you do not have Outlook. In this case you have the option to forward iCloud emails to your other email address (the one you used to setup iCloud perhaps) and route this into Windows Mail.

You should also check that all the fields are correct. Use the iCloud Mail server information for this.