If you choose NO on the sponsoragreement Plus! won't install adware (sponsor).
There are lots of threads about Microsoft Antispyware have a look at:
Microsoft's Anti-spyware Software...
Microsoft® Windows AntiSpyware (Beta)
MS Antispyware says Messenger Plus is adware
Microsoft ANtiSpyware Beta1 - False detections (not only Plus!)
If you accidently installed the sponsor:
1. Uninstall (start > controlpanel > add/remove programs), make sure you have your internetbrowser fully closed (complete exit)
2. reinstall with sponsor if you used a spy/adware removal program (if not go directly to point 4)
3. uninstall directly
4. reboot
5. reinstall without sponsor (you may wanna shut down Microsoft Antispyware whilst doing this, seeing as it interrupted the installation)