If you had photos or images that were inserted into the posts on your Windows Live Spaces blog, you should find them within the posts on your new WordPress.com site.
Photos that are part of albums but not used in posts are not part of the upgrade process. Those images are still stored with Windows Live and you can find them by going to http://photos.live.com/ .
Click on your album icon and choose 'More' -> Download as .zip File'
This explains how to upload pictures to your WordPress.com blog: