I've had trouble with mine. What I had to do was, delete the account on my iPhone and then to re-add it.
Put in your name in where is says name obviously, and then your email address into the address and description boxes.
For incoming mail server put in pop3.live.com followed by email address and password.
For outgoing, put in smtp.live.com.
That should be all you have to do. If it doesn't work, then re-check everything is typed correctly. If it still doesn't work then I have no more answers...
Hope that's been helpful.