PJ, interestingly, almost all of us had the same experience. First, from your OLSB log-in, be sure you have set up passwords, hints, etc. for your email account. You are using Windows Live ID to sign into your OL account. Your email address is now also a WLID. When you log into OLSB, there is an option to "Log in with a different ID." Use that option and enter the email address. That will take you to the email account.
You can make your email address an editor or administrator of your OLSB account. Then the email will appear on the OL home page. This is not very practical if you have more than one account.
Use the "Getting Started" link in my signature, then click on the "Prescriptions" image. Scroll down to "Basic E-mail Management." This explains several options. My favorite is Windows Live Mail which allows you to access all of your email accounts in one place.