If you are you experiencing trouble using WordPress.com please take a look at our support page dedicated to the upgrade process here: http://en.support.wordpress.com/upgrading-from-windows-live-spaces/
See also the sticky posts at the head of this forum.
Please note that the following items do *NOT* come over in the import process:
Photos that were in albums but not within posts
Photos that weren’t used in posts are not part of the import process because they aren’t actually part of the Windows Live Spaces blog. They are part of the Photos or Skydrive service. The photo albums from Skydrive are always accessible and aren’t going anywhere. Anyone can find them at http://photos.live.com/.
There is no internal program to check for broken images links. I assume you have a Google webmasters account and can see crawl errors there. If you wish you can use tried party broken links checkers. > http://onecoolsitebloggingtips.com/2008/03/12/wordpress-how-to-maintain-and-track-links/