Windows Phone Live is the Windows Phone 7 replacement for MyPhone used with Windows Mobile. Good news is it's much better, comes with 25GB of SkyDrive and best of all it is all free.
Rather than spout loads of information it is covered here, http://windowsteamblog.com/windows_phone/b/windowsphone/archive/2010/07/13/windows-phone-7-getting-connected.aspx.
Daniel