Updated the MP! to the 5.01 version, and now the Another Title Manager script don't work anymore. It don't "Save" changes to anything that you input (can't add new Lists, add entries to existing ones).
How can I undo the update, without losing all data saved for the script?

If it doesn't save settings then the script is probably at fault here, not Messenger Plus! itself.

In many old scripts the path to the script's files and/or settings is hard coded inside the script instead of using the proper methods. The result is that these kind of scripts wont work when something is updated in Plus!. However, a quick look in the source code shows that this script does use the proper methods.

Another cause can be that you don't have the proper read/write permissions for the paths this scripts creates. This can be a somewhat common issue on Vista or Windows 7. So, again not the fault of Messenger Plus! itself.

This said, this script can also manipulate your Personal Status Message. But there are some problems in Messenger Plus! 5 in regards to setting the Personal Status Message via scripting. But that shouldn't influence the saving or loading of settings though.

So, if the problem you're describing is indeed the saving and loading of settings then I think something else is at hand here like a bug in the script itself and thus not Messenger Plus! itself which is faulty.

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If you want to downgrade, simply reinstall an older version of Messenger Plus!. But beware that if you downgrade from Plus!5 to Plus!4, your settings of Messenger Plus! (which includes all your script settings) will not be automatically migrated back! So, make sure you export your settings first to a file. You can do this using the Import/Export wizard in the Preferences of Plus!. And you will need to reinstall all your scripts too though.

1) Export all your settings using the Import/Export Wizard in the Preferences of Plus!5.
    (do not forget to do this for each Messenger account you might have!)
2) Install Plus!4.
3) Start Messenger.
4) Re-install all your scripts.
5) Import all your settings using the Import/Export Wizard in the Preferences of Plus!4.
    (again, do not forget to do this for each account)
6) Restart Messenger
7) Double check all the settings in Plus! and in your scripts to see if they have been set properly.