Windows Live Alerts was a subscription alert service within Windows Live. Users could be alerted from 3rd party sources such as MSNBC, FOX Sports, MSN Weather, and NASDAQ on news items, appointments, scores, etc.
If you use Windows Live Alerts, you'll see the following message when you go to manage your Alerts.
"Thank-you for your interest in Windows Live Alerts. After much consideration we have decided to discontinue this service as part of the Windows Live offerings. Please sign up with Windows Live Alerts partners directly to receive their newsletters or other content updates from them. Hotmail Calendar Alerts and reminders will continue to be managed by Windows Live Alerts for the time being."
The service will cease after September 30, 2010.