What to do?

Someone has created an xbox live account using my e-mail address (e-mail account is not a Microsoft system)

They must have had access to my e-mail account at some point - there was a breach at that particular provider (lets not go into that)

Now I get e-mails about about xbox this and that and stuff they purchase on that account

but more importantly there is a windows live account with _my_ email address and I kind feel like that should be reserved for me :-)

what should I do?