account.live.com is currently redirecting to login.live.com, which IS a Microsoft site
however I'd be surprised at M$ mailing you in this way - their usual style is to lock the account until you notice and contact them. Also sending links like that is a no-no
My guess is that the link isn't what it appears to be - and either hides a redirect to somewhere else, or else has malware embedded in it
Does the mail address you by name? Or by your e-mail address?