Im not sure if Sky is fully compatible with Windows Live Mail is it? Is it POP3 or IMAP?
I personally never use Sky Mail - my advice is never to use an ISP email account - having to change across every time you change ISP is absolute bollocks! That was one half-decent thing about AOL, they let you have on to the email accounts.
Go with Hotmail/Live.com/Googlemail/email.com, every bit as good if not more secure, and they are not dependent upon your ISP.