I've been playing with WordPress a little over the past couple days (for our new family site we're trying to start) and it's a pretty sweet product.  In their latest version 2.3 they have full tagging support but at first glance the only thing Windows Live Writer would allow me to do is set up categories for WordPress which are not the same.  I prefer tagging for its simplicity. 

So after some searching I found that WLW looks for a file named "wlwmanifest.xml" to discover what features are available for the particular blog engine your using.  So all you have to do is download this WLW manifest file designed for WordPress, and then upload it to the root of your blog.

This allows you to use a nice little box in WLW to enter "keywords" which get translated into "tags" when posting to WordPress.

:D