I used windows live signup by:
(1)check "Windows live enabled" checkbox in MSM (this makes sign in page use Windows live theme);
(2)fill up the "Windows Live upsell URL" textbox using "https://signup.live.com/signup.aspx" (this makes signup page use Windows live theme).
However, when I click signup button on the signin page, I got error image:
Note: my return url is not in live.com domain.
This is an answer got from an expert.
The return URL can only be to a URL with the following domains.
You realize that the signup page you are using is designed for Windows Live and not partners outside of Windows Live such as MSDN and Microsoft.com.
However, we heard from other experts that windows live signup can be used by sites outside of live.com. So I still need to follow up.