It looks like you're using Microsoft BPOS - the predecessor to Office 365
Did you follow the guide here:
Connect a Mobile Device to Exchange Online BPOS Standard
Typically there's something before mail.microsoftonline.com like red001.mail.microsoftonline.com
And unless you have a strange BPOS Setup the domain field should be blank.
To set up Windows Phone 7 to connect with Microsoft Online Services
*Turn on your Windows Phone 7, tap the arrow to go to the App list, and then tap Settings.
*On the Settings screen, tap email & accounts.
*On the email & accounts screen, tap add an account.
*On the add an account screen, tap Outlook.
Note
You may have multiple Microsoft Outlook accounts on your Windows Phone 7. To sync other Outlook accounts with your Windows Phone 7, follow these steps for each account.
On the Outlook screen, tap the Email address box, and then type the e-mail address you want to sync with your Windows Phone 7. The address should take this form: name@company.com.
*Tap the Password box, type your password, and then tap sign in.
*The phone begins verifying your settings, and the Outlook screen will reappear with more fields.
*Tap the Username box, and then type your e-mail address again. Use the complete e-mail address you typed in step 5.
*Tap sign in.
*The phone continues verifying the account information. If you receive a Verify Certificate message, tap Accept.
*Tap the advanced button.
*Tap the Server box, and then type the mobile device URL for your company’s region. Do not include the https:// prefix with the mobile device URL. For a list of mobile device URLs by region, see URLs for Microsoft Online Services.
Note
If you are not sure which URL applies to your region, open the Sign In application, click the Microsoft Office Outlook Web Access link, and then look at the URL in the browser address bar. If your Outlook Web Access URL has “apac” or “emea” in it, use the corresponding mobile device URL. If your Outlook Web Access URL has no region code, use the mobile device URL for North America in URLs
for Microsoft Online Services.
*Select the check boxes for the types of data you want to synchronize, and then tap Finish.
*The phone starts communicating with Microsoft Online Services.
*Tap sign in.
*The phone begins verifying the new information. If you receive a Verify Certificate message, tap Accept.
To modify e-mail account settings on a Windows Phone 7
*Turn on your Windows Phone 7, tap the arrow to go to the App list, and then tap Settings.
*On the Settings screen, tap email & accounts.
*On the email & accounts screen, tap Outlook or the account that you want to modify settings for.
*On the Outlook Settings screen, update the settings you want to change, and then tap the check mark at the bottom of the screen.