Please also checkout the post Installing Live ID Authentication In DotNetNuke 5 if you have not installed Live ID Authentication provider as part of Dotnetnuke installation or upgrade.
Click at Register an Application! link
Enter the information and click Submit button. This will register your application and will create your Application ID.
Now go to your Dotnetnuke portal. Login as Admin and then open Admin->Authentication page.
This will show additional option in the login box so users can login using their Live ID.