Hang on a moment. I've just remembered that the recent versions of most Microsoft programs no longer have a Menu bar anyway; they use a ribbon, across the top of your screen, instead. That certainly applies to things like Microsoft Word and a bit of googling seems to show that it's also been the case with Windows Live Mail since the 2011 version. So perhaps you're seeking to do the impossible?
If you've got a recent version of WLM you should have a ribbon like this at the top of your screen:
http://www.webdevelopersnotes.com/tips/windows_live_mail/ribbon-toolbar-windows-live-mail-2011.gif
That replaces the Menu bar.
If the ribbon isn't showing, press Ctrl and F1 together to bring it up. (Alternative methods here:
http://windowslivemailtutorial.com/show-hide-ribbon-in-windows-live-mail.php )