I recently installed AIM (AOL Instant Messenger), which has the possibility of playing a sound whenever you log in at your contacts' AIM - for example, one of my friends recently logged in, and then I heard a short guitar solo.

Is such a plug-in available for MSG Plus?

nope....

Also, this can be considered as a breach of privacy (yeah, I know, the "P" word again) and/or can be abused for flooding.
Eg: I don't want hundreds of different sound to be played on my end when people sign in.

It IS possible though, but only if both you and the contact has a plugin made with this purpose. But because of the above reasons, I doubt this will be made any time soon (unless a plugin programmer is really bored ). Anyways, both you and the contact will need to install the plugin to work...

However, it is possible in Messenger Plus! that you set some sound that should be played on your PC when someone particular signs in... In order to do this go to "Plus! > Preferences > Notifications > Sounds" or right-click a contact and select "Plus! extras > Notifications" to set some sounds for different events (like changing status, etc...)