Conversation view in Windows Live mail

They are all part of one conversation of and under the same "subject". What they do not share, alas, in Windows Live Mail is a common location and order — so you can read them in easy, successive order; not yet!

It's easy, fortunately, to have Windows Live Mail group mail by subject.
View Mail Grouped by Conversation Thread in Windows Live Mail

To have Windows Live Mail arrange messages by conversation, grouping messages with matching subjects so you can read them in order:

    * Select View | View by conversation from Windows Live Mail's menu viewing a folder.
          o If you cannot see the menu bar, hold down the Alt key. 

To expand a conversation, click the right-pointing triangle in front of the oldest message in the thread.

Note that Windows Live Mail will not include messages from other folders in the conversation view. To see received and sent messages in a thread, for example, move both to a single folder.