It is recommended to let Plus! load when Windows starts. The amount of memory Plus! uses when it's not active is very, very small (even less than the 2 MB often shown in the Task Manager).
There is, however, the /AutoStart parameter you could use.
Make a new shortcut to fullpath\msgplus.exe /AutoStart (replacing fullpath with the full path to the program, i.e. C:\Program Files\Messenger Plus! 3 for a default installation).
This is an undocumented feature, and you'll have to experiment yourself with what it does and so on. Do not expect full support for it
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