When using Windows Live Writer for blogging with Drupal you have to consider a few things, when setting up your account as explained here for example.

But even then, you cannot download any categories from Drupal for use in Windows Live Writer. There is a small bug in the blogapi.module (located under /modules/blogapi/ in your Drupal installation).

Inside this file there is a function at the end of it named _blogapi_get_node_types().

function _blogapi_get_node_types() {
$available_types = array_keys(array_filter(variable_get('blogapi_node_types', array('blog' => 1))));
$types = array();
foreach (node_get_types() as $type => $name) {
if (node_access('create', $type) && in_array($type, $available_types)) {
$types[] = $type;
}
}

You simply have to delete the red marked parts and everything will work as expected.