Offline installer for version 5.02.0712:
http://mirror10.msgpluslive.net/20110531/VS/Setup-MsgPlus-502.exe
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Full instructions:
1- Remove that web installer setup file.
(Also check your Desktop; There might also be a file link related to the webinstaller on there named "Continue Messenger Plus! Installation".)
2- Clear your browser cache (see how
here)
3- Restart your computer
4- Redownload Messenger Plus! from this link:
http://mirror10.msgpluslive.net/20110531/VS/Setup-MsgPlus-502.exe
5- Save that full setup somewhere and start it up
Note that the above link will install the exact same version of Messenger Plus! as you tried before. The only difference is the setup/installer itself.