Finally, I installed and configured NNTP Bridge on my laptop to access Microsoft Forums from Windows Live Mail. If you are not familiar with NNTP Bridge, you can read more about this on the Microsoft Connect site (https://connect.microsoft.com).
After the installation you need to add another newsgroup account in WLM. You can use 127.0.0.1 as the NNTP server name.
Also, you need to make sure the NNTP Bridge service is running.
As you can see in the following screenshot, now I can access both Microsoft News Groups and Microsoft Forums from Windows Live Mail.