can you tell us exactly what plugin you get?
Usually, after extracting (unzipping, i assume) the plugin, you'll find a readme.txt file with special instructions on how to install it. If there isn't such file, just copy the extracted files (there should be at least one .dll file) to the plugins folder of plus (usually c:\prorgam files\messenger plus! 3\plugins ) and restart messenger. If the plugin doesn't work, you should do something else, but we can't help you more if don't know what plugin is. (you would have to add an entry in the registry and register the plugin).
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