I open up WLM after the clean reinstall and all my folders [Inbox, Sent, etc.] have the same messages and nothing has changed.
This process has steps that would permanently remove all Windows Live Essential related files on the system giving you a fresh new state to work on.
@Glenda
Paso Hondo is pointing out that his folders and messages haven't been affected by the uninstall – re-install process. The procedure you've now recommended won't affect them either.
@Paso Hondo
It's by design that uninstalling the program won't affect user data. You wouldn't expect all your documents to be deleted if you uninstalled Word, would you?
All your folders and messages, along with account settings, are in the store folder, by default at
C:\Users{user}\AppData\Local\Microsoft\Windows Live Mail
If you're quite sure you don't want to retain any of these data, you can delete this folder. You could also move it to somewhere else for safe keeping in case you change your mind.