Back to the problem at hand. I have looked at my windows live and I can not find out a way to do what you are asking. It only seems to Export the whole list and not the sub Categories.
Edit: Here's how to do it.
Plagiarized from http://answers.microsoft.com/e.....f644da279d
Create a new temporary folder on your desktop.
In WLMail's Contacts window (Ctrl-3), select the category in the left-hand pane
Press Ctrl-A to select All
Drag the selection and drop it into the temporary folder
Added by me:
Get Free VCF to Excel XLSX Converter 2.0a Beta, Go to the "External Mirror 1" to download. (Ignore all other Download buttons).
Extract the zip file downloaded and in the folder created (Free VCF to Excel xlsx v2a) click on Free VCF to Excel xlsx v2a.exe
In the window that comes up click Select VCF Files and navigate to the folder where you stored you vcf files.
Use CTRL + A to select all. Click Open and then click on Create Excell File.
It will create the Excell file in the same folder as your VCF files named Vcf to Excel File.xlsx
Click on it and there they are.
It is a little bit of work, but it does work.