Turn off AdWatch (part of AdAware SE)/MS Antispyware temporarily and reinstall Plus! once more (some programs prevent writing in the registry).
If C:\Program Files\MessengerPlus! 3 is still there you can restart MsgPlus! through taskmanager (ctrl alt del - 1x - file > new task..browse to Msgplus.exe). After you've done that i suggest you set the hookingmethod of Plus! to
Alternate mode (click link for info on how to set it properly, again make sure AdWatch/MS AntiSpyware is not preventing writing in the registry whilst setting this). Incase there is any program interfering with Plus! this is the prefered hooking method.