And to be correct: The sponsor is not a virus, nor spyware. It is adware (which you can uninstall in the normal default way by going to Add/Remove Programs). There is a big difference.
And even most (quality) anti-virus/spyware programs do make that difference... if you read properly what they give as a warning (since not all warnings mean that you have a virus).
Messenger Plus! always have had this very same sponsor though (since version 2.something) and it always was optional and you always had to explicitly tick the option to install it; it never ever installed automatically.
And last, the sponsor program of Messenger Plus! Live never shows adult content! If it does, I strongly encourage you to take a screenshot and report it ASAP so that ad can be taken out.