Hi BR,
Based on your description, I would like to confirm the following information:
1. Do you use the same domain in Office 365 and Windows Live?
2. Have you checked if there is an account in Windows Live with the same name that you want to create in Office 365?
I would like to explain that the same domain cannot be used in two Microsoft services.
About how to create a shared mailbox, please refer to the following link: http://help.outlook.com/en-us/140/ee441202.aspx
Thanks,
Anna Shi