I think you have Windows XP and are talking about Windows Messenger. Many people prefer MSN Messenger. It comes with more personalised options such as custom emoticons and display pictures, where Windows Messenger doesn't offer these options. You can download and install MSN Messenger by going to
http://messenger.msn.com.
Messenger Plus! should work on Windows Messenger though. You shouldn't expect a whole new program, but you should see a new menu next to Help, titled "Plus!". If this is present then Messenger Plus! is correctly installed. You can then access the program by the menus it adds