CKurt said:
Then msdn also linked to this page https://msm.live.com/wizard/admin/userinfo.aspx to get some id for the 'Delagated Authentication' bt that site looks, old , ugly , has nothing to do with azure and doesn't even render right in most browsers!

and then "Delegated Authentication for the Windows Live Messenger Web Toolkit" is not the same as "Delegated Authentication for window live id". Is one the new version of the other ? the more easy version? does it have more limitation about the data you can access? This 'login' control has another layout (again) http://msdn.microsoft.com/en-us/library/dd570058.aspx

I'm starting from zero right know and want to know the right direction to go in. Or should I start playing with Live Services and see how that works since that will be the future right?
You can construct the link yourself if you want: just hyperlink to https://login.live.com/wlogin.srf?appid=000000004C00F390&alg=wsignin1.0&lc=1033 (replace your app ID).

You should follow the SDK here (http://msdn.microsoft.com/en-us/library/bb676633.aspx)  which talks about customization of the UI (http://msdn.microsoft.com/en-us/library/dd548478.aspx).

Delegated Auth is about getting access to user data not for authenticating the user.

re. logout - that screen showing you the sites you've logged out from is shown when some website doesn't know how to handle the sign out. it is alerting you that you haven't been signed out of the site.

for more help hit http://dev.live.com/liveid and then on right click support forums