Cannot connect to Windows Live ID: Location setting doesn't match the setting for your computer

Just going to get technical for a sec, because I know Mike would want to know this :-)

It's not actually the location of your Live ID; it's the location of your Zune account. When you create your Zune account, we use as a default your current Live ID location (which you can change during account creation) - but once you've created your Zune account, that's it, and your country can no longer be changed. You can, however, change your Live ID country, but it has no effect on your Zune account.

The other solution, of course, is to create a new live ID/Zune account in the region your PC is in...which is probably what you want to do if you want to be able to use the marketplace for your country.

Match them....

You can't change your live ID, so you will have to change your PC location in Windows.  Go to the control panel, and into the 'Regional and language options' (in XP... I would have to assume Vista and Win7 are similar.)