Hi,
You can configure it to use only Windows Live for authentication, though we don't have a built in popup widget like the example page you linked to.
1. In Site Settings > Security > Windows Live enter you windows live app id and and key and check the box to enable windows live authentication.
2. Register a new user on your site using windows live and add him to administrators role so you don't get locked out once db authentication is disabled.
3. Check the box on Site Settings > Security > Main that says "Disable Database Authentication"
Note that if you change it without first creating an admin user that has an associated live id then you won't be able to login at all as admin after that without going into the database and re-enabling database authentication
Hope that helps,
Joe