It seems that Hotmail just doesn't work properly.
I also use Hotmail and it is setup as an exchange account and sometimes it loads email fine, but othertimes, it either gives an error message "can't contact server. Talk to admin", or Mail shows that it has refreshed emails, but it doesn't show any new emails. I have no idea why this happens, because Hotmail is setup properly and nothing on my part has changed.
This sporadic behavior of not downloading emails also happenes with Outlook, when Hotmail is setup as a POP account. Though sending emails does always work.