Is Windows Live Mail still supported by Microsoft or should I switch to Outlook?

Is Windows Live Mail still supported by Microsoft?                

That depends on what you mean by supported. There is no program team working on it, so there's no expectation of any improvements or other changes in the program. If you mean is there help to be had, then you've come to the right place for it.

... is it secure?                 

I'm not sure what you mean by this. Email is not a secure means of communication unless you encrypt the messages you send and receive. It's up to the Email Service Providers you use whether messages you send and receive could be intercepted and read by outsiders. The program and user data on your computer are as secure as all the other data - documents, pictures etc.

... should I switch to Outlook?                 

Outlook is a different program with advanced capabilities in some areas, but it lacks some of the features that Windows Live Mail has. It depends what your needs are.

... would all saved emails in Windows Live be moved to Outlook?                

No. The two programs store messages in completely different ways.

If you're having problems with Windows Live Mail, please use the Ask the community option to start a new thread about each one. Be sure to mention your version of the program and your version of Windows whenever you ask a question.