If you downloaded msgplus (i assum that from the area its in) Its not a whole different messenger, its just a drop down menu on the msn contact window/conversation window/ and a plus! sign beside "backgrounds" and the contacts name when you hover it. I wont continue with naming things off, you'll find them easily. Thos eare some of the visuals, and all it does is adds many features to msn messenger. Go to Plus>preferences> and theres a bunch of things you can do.
If you cant see it, try to download it agian. If the installer didnt come up, or anything...try the mirror site, it is available on the home page of www.msgplus.net