Like Zahid said: Go to the control panel -> Add/Remove Programs and see if either "Messenger Plus! Live & Sponsor" or "Messenger Plus! Live" is listed. If it says "Messenger Plus! Live & Sponsor" you accidentally
did install the Plus! sponsor. In that case, follow the removal instructions in
How to uninstall ad-ware/sponsor.
If Plus! is listed without the sponsor then the advertisements are coming from somewhere else. Messenger Plus! is not the only software that bundles adware, there are thousand of other applications and sites that could have installed it. I suggest you see if anything is listed in "Add/Remove Programs" that might uninstall the adware, otherwise use an adware scanner like
Ad-Aware.