That message has two links, one to confirm deletion of the email address and one to cancel the deletion. I don't think that whoever owns the rogue email address is going to use the confirm one :-(
You could try contacting the Hotmail/Live mail team to see if you can persuade them to remove that email address, or ask in one for the forums at
http://windowslivehel...duct.aspx?productid=1
If all else fails, you could set up a new account, transfer all your emails to the new account, let all your contacts know of the change of address, and then delete the compromised account. There is a guide to doing the transfer and notification at
http://windowslivehel...2c1-8ff2-d4dea91a5452
Transferring to a new account won't help with everything - if you have used it to link to FB, Twitter or to sign up for other things on line you will almost certainly have to go and change the contact email address for each site yourself, but at least you'll be starting again with a secure account