Thank you guys, it's very clear now
However, I've been doing some tests under a virtual machine with a clean Windows XP and noticed something:
I installed MSN Messenger 6.2 and then Plus. MSN Messenger set itself at startup in HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Run. Plus set itself at startup in HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Run.
I closed MSN Messenger but Plus didn't replace the MSN Messenger startup key with the Plus one with "/WinStart" as expected.
I checked the registry, in HKEY_CURRENT_USER\Software\Microsoft\MSNMessenger, AppSettings was = 62 00 00 80 (autorun disabled), but in the Options window it was enabled!
When I clicked OK there, then it changed to 62 02 00 80 (autorun enabled) and when I closed MSN Messenger, Plus did what I expected it to do in the first place.
So, my question is how does Plus read the AppSettings value to determine if MSN Messenger should start when Windows starts? Its value depends on many options (it's not always "62 00 00 80" for autorun disabled like in my case, it depends on the other options aswell).
Hope I was clear