If you installed Windows Live Essentials, then you already have everything you need for IE8 or IE9 to start syncing.
Simply pop open Windows Live Mesh, sign in, and enable IE sync.
I used to use the old version of Live Mesh (before it was Live Sync then Mesh again). Unfortunately the newest version kept getting stuck "waiting for files" and I kept getting "MEO.exe has encountered an error". No amount of uninstall/reinstall and formatting helped. I really liked the old Live Mesh too.