I had a similar problem. I have two live ID's: one live.nl email address, and a very old hotmail.com address. The Live.nl one has all my stuff associated with it: connect, certifications, the lot. The hotmail.com one now only functions as an MSN sign-in
name. I wanted to merge those two accounts, so that I can sign in to MSN with the live.nl address, but keep the actual MSN account so that I don't have to ask all my contacts to add my new live.nl account. I elaborated on this a great deal when I asked support
if this was possible. The response?
"Create a new MSN account with your live.nl email address, then copy all your contacts to the new account. After that, just ask all your contacts to add your new account!"
The fact alone that it is impossible to change your Live ID sign in address is mind-bogglingly stupid. The fact that support tells you to do exactly that which you described in your email as "Not what I want" is beyond what my simple mind can grasp.