Just one thing...
If you have downloaded a script (a "plcs" file), it's just to double click on it and will open a window... You have to check the box that you are instaling in your own... and click on Import
Like the image above...
Note: If the "plcs" doens't open with double click, just make a right click > Open With > and Select the "Messenger Plus! Live Tools"
Note2: If the script is in a ZIP file only, right click > Open with > and Select the "Messenger Plus! Live Tools" and than the window will appear.
If you're talking of plug-ins, used in Plus! 3, the plug-ins have an instaler...