Why is my account email challenged? Help with domain settings needed desperately!

I have tried several times to configure an MX record in my domain unsuccessfully. Windows does have the record of my account. However, every time I "refresh" on the Windows Live Admin page it keeps giving me the same message "You must prove your ownership by creating an MX....." I am not sure why this isn't working for me. I have read the tutorials thru Yola and Windows and have followed the directions Exactly as stated.......