Gmail users should now be used to viewing their messages by conversation. To make it simple, if you have 2 or more conversations of the same subject, Gmail groups them into a single view and when you click on them, it takes you to other messages.
Here is an example in Gmail,
You can I have 2 conversations and 6 conversations in the next. So, when new mail regarding that conversation arrives, it goes into that and I will know something new related to that subject has arrived.
You can do the same with Windows Live Mail 
Enable the View by conversation by going to the View menu as below
Once you select that, if there are any messages in your Inbox, it gets updated accordingly 
You will see a arrow kinda thing at the start if it has multiple conversations,
And if you expand by clicking on that arrow kinda thing,
I like this feature very much and happy that Windows Live Mail has brought in 
Please implement this feature into Windows Live Hotmail, please
Haha. I have the same email as the only one in a conversation type on my list
Any idea, why I have this option greyed (so I am not able to activate it)?
Same poblem as konhEm, view by conversation option is grayed out.
For future readers: the layout must be in single line to use view by conversation.
Jimmy,
Thats a good find. I was wondering why KonhEm was not able choose the View By Conversation option. Now its cleared – Thanks a lot
Thanks to all
One thing I’ve noticed with conversation view in Windows Live Mail is that it doesn’t seem to bring the conversation to the top based on the most recent email. So if you have some conversation started two months ago, it’ll remain at that slot, even while new emails get put into the conversation thread. This is because newest emails get put at the bottom of the conversation thread.
The whole conversation eventually gets buried under newer emails/conversations.
“the layout must be in single line to use view by conversation.”
How do I do this?
View (Alt + V If menu bar is hidden) > Layout… > Message List > Select ‘One-line view’
Conversation follow grayed out even in One Line view.
Ah Maaan ! Paul, You have to select Two Line view to be able to activate Conversation follow !!