Many of the Windows Phone apps I use have some sort of integration with SkyDrive, sometimes as a store for backup data. You can find sample code on the web on how to do this, it's pretty simple. However, I had a bit of a problem trying to get connected and the app wouldn't even show the SkyDrive login page.
After some digging around I found that, because my app was a Windows Phone app, it requires a newer set of OAuth mechanism, and in order to use it the app needs to be marked as Mobile Client App.
To find this option log onto dev.live.com, go to "My Apps" and select API Settings: