It seems that emails sent from Mail.app are not being received by Hotmail/MSN accounts, ostensibly due to the way headers are formatted in Mail. There are workarounds (CC'ing yourself, or setting the Priority of the message to Low or High), but the easiest solution seems to be this one (from this thread in Apple Discussions)
Mac OS X Hints
http://hints.macworld.com/article.php?story=20051028184726122