I was disappointed on my first install that by signing into my LiveID, it assigned my full name as the username. Obviously it could have asked, but wanted to be a dick about it. Now, when it emailed me to ask if this was a trusted computer I quickly found something nearby on the Live site that said it wanted to know what I thought about my LiveID name, do I like and want to use it, and I changed it to first name Pixel, last name Eater. Signing in on my second, desktop install resulted in a username Pixel Eater, user folder Pixel and I'm happy with that I guess.
To fully reign it in I wonder if you have to make a "local" install, then hook Live up after.