I still need you to check your account settings even though you already tried to resolve this on your end. You can visit these solution posts for the steps on how to do this:
http://windowslivehelp.com/solutions/settings/archive/2009/02/18/not-receiving-e-mail-from-contacts.aspx
http://windowslivehelp.com/solutions/settings/archive/2009/03/03/how-to-set-or-change-reply-address.aspx
Note: I've moved your post to the Mail Delivery forum because this is the appropriate one for it.