A WebmasterWorld thread reports Microsoft is keep-alive and transfer-encoding the connection. Here is an export of the status:
HTTP/1.1 200 OK Content-Type: text/html; charset=utf-8 X-Powered-By: ASP.NET P3P: CP="NON UNI COM NAV STA LOC CURa DEVa PSAa PSDa OUR IND", policyref="http://privacy.msn.com/w3c/p3p.xml" Vary: Accept-Encoding Content-Encoding: gzip Date: Sat, 02 May 2009 16:56:37 GMT Transfer-Encoding: chunked Connection: keep-alive, Transfer-Encoding Cache-Control: privateModerator, jdMorgan adds one more issue to the pack. He added that Microsoft's Live Search headers have a missing value after the If-Modified-Since date.
Forum discussion at WebmasterWorld.