Its probably a bit too late to post this...
But anyway, I'll post it because i'm feeling rebellious for some reason.
Sandboxie basically runs a computer within a computer (or in this case, a browser within a browser).
All your data from that session, whether its downloads, cookies etc is stored by sandboxie insted of your HDD, and as soon as that "session" is complete, sandboxie deletes/removes the data. This means anything you used during that session is gone - including nasty tag-along programs.
Sandboxie can also be used for running other internet applications in a "bubble", so if you want to isolate a FTP server for example.
For making sandboxie work with windows live mail :
http://www.sandboxie.com/index.php?ApplicationsSettings