Facebook, twitter, and open ID have a login icon at the top right next to the login link.
Please add a live login icon here as well.

Please make the live login have the option at login to associate with current board account or create a new account like facebook has.

I agree with both suggestions.

If live is enabled, it IS shown in the top bar already. We just don't have it enabled here.

Windows Live works like a normal login method (Twitter and Facebook do not). To that end, it looks for your existing account, and if it's found you're logged in, otherwise a new one is created.