Hi jerry,
We currently don't have the option in Windows Live Photo Gallery to include a water mark on a photo. However, I will forward this as a suggestion over to our product team for considerations in a future release. You can also submit this as a feature request by going to the http://feedback.live.com/ page and then select "Windows Live Photo Gallery".
You can perform the workaround provided by Dissed and Bob in adding a water mark to your photos using MS Paint.
Regards,
Gerard G.