I'm guessing a bit (because I don't use Windows Live Mail) but pressing the Alt and F keys together normally does exactly the same as clicking on 'File'. (i.e. it's just a shortcut). So I read the first bit of "press Alt + F, O, S" as saying that you should either click on 'File' or use the Alt+F shortcut for it.
Once you opened 'File' one way or the other, the next instruction is to press 'O' (which, from 'File', normally means 'Open'). So we've now established that you need to go to File > Open. It's not clear to me what 'S' will be the shortcut for but I'm sure that you'll find out when you press it!
So, in short:
Press Alt and F together. (You should then see the File menu)
Then press O (which should perform the 'Open' command)
Then press S