The background/details are described in this article and the change can be completed directly through this link.
That was the easy part - but according to Will Robinson at Intense Collabage there are intermittent problems where, after the transition, contacts remain offline. The solutions is according to Will/MSN Support -
- Log in to MSN messenger with new account name.
- Export your contacts to a file (Option in Menus)
- Delete all your contacts manually
- Import the contacts file.
Furthermore, there are problems with Windows Live Custom Domains and EASI passports (Might be that MS regrets ever offering EASI passport domain support ;-)