I'm trying to set up our email on windows live using our website domain name, we are currently using GMail.  

I've had the website guys set up the DNS settings as required for windows live but I still keep seeing the message "Pending DNS configuration" .  It appears I can set up the email addresses I wish to use and then edit the email setting so as to make the new addresses live.  However there is a warning message that indicate that the old addresses will no longer work and I am reluctant to make the change and then find that the new ones do not work as the DNS setting are still not yet configured.

I've checked with the website guys and they assure me they have it set up correctly.

Is there always a delay in getting the DNS settings to take effect? If so how long?

What else should we be looking at?