Windows Live Writer is a pretty descent Desktop Blogging application. Windows Live Writer supports many blogging services including Blogger.com and WordPress Hosted Blogs. I'm very used to use the WordPress Plug-in ultimate tag warrior to tag my posts. In Windows Live Writer you can post tags but integration with UTW is not present by default. There is a fairly simpler way to enable posting of UTW tags from Windows Live Writer while posting. First of all Go to your UTW options and Enable 'Embedded Tags' and save the options to your blog admin section. After that come back to Windows Live Writer and Choose 'Insert Tags' either from the 'Insert' menu or from the right side bar. Now Select the 'Tag Provider' drop down menu and select 'Customize Provider', now Click add and enter the Text as described below.
Ok once you finished with the Text options, press ok to Save and from now on you can use the Insert Tags Plug-in to Enter your UTW tags for WordPress.
A more detail on this can be found on Pascal Vanhecke.