Step 4: You will be taken to WordPress.com and asked to connect your Windows Live account to WordPress.com. Authorize WordPress to access your Windows Live account to continue to the next step. If you already have a WordPress.com account, sign in to your account on the Step 1 and then authorize your Windows Live account so that you can migrate the Spaces blog to your existing account. If you do not have a WordPress.com account just authorize your Windows Live account and then create a new WordPress.com account under Step 2.
For Step 5, follow the instructions based on whether you already have a WordPress.com account or not.
Step 5 for existing WordPress.com users: Once you have authorized your account, select an option to either create a new blog or merge your Windows Live Spaces blog with an existing account. If you choose to migrate to an existing blog, follow the options given by the migration wizard, if not move to step 6.
Step 5 for New WordPress.com users: Sign up for a new WordPress.com account and continue to the Next screen.
(Step 6 is common for both existing and new users who choose to create a new Blog for their Windows Live Spaces migration)
Step 6: Choose a new Blog Domain for your blog and fill or select the rest of the options to create your new blog. Click on the "Signup" button to begin the migration process from Windows Live Spaces to WordPress.com.
Now that you have moved to WordPress, enjoy blogging.