Google had the Sitelinks added since 2006, and 2 years later these are added into Microsoft Live Search too. Sitelinks (Microsoft calls them Deep links) are shortcuts to pages within a specific website that show below that website's listing. They are meant to help you navigate the website by providing links to popular destinations from that website. If Microsoft Live Search deeplinks works like Google sitelinks does then their system analyzes the link structure of a particular website to find shortcuts and shows them automatically.
As you can see the main difference between Live search deeplinks and Google Sitelinks is their number - Live Search shows only 4, while Google shows 8. Also, the link chosen to be displayed as sitelinks are a bit different between the two, which is somehow normal given that they both use different algorithms.
Also the Live Search deeplinks feature is announced as new, I assume they meant that it was added in its final state today given that there are reports this feature for Live Search goes back in 2007 - probably back then there were just tests.
As with any new Live Search feature this needs work too. One of the things they need to improve is the number of websites they recognize Deeplinks in Live Search, because Google shows them for many more websites. Another thing would be to include the ability to control their display through the Webmaster Live section like Google allows through Google Webmaster Center.