I don't think Messenger Plus! is the correct software to put it in.
This is more like something which needs to be put directly into MSN Messenger itself (suggest it to MS:
http://messenger.msn.com/help/contactus.aspx).
At best, a Messenger Plus! Plugin could make this possible. But I doubt that though, as changing proxies in MSN Messenger requires you to log out (and even restart messenger(?)). And plugins don't work quite well (if not) like that...
What you could make (or request for) is a small standalone application which:
1) closes/quits messenger
2) changes the proxy settings in registry, as proxy info is saved in the registry anyways
3) starts messenger again
This would be very simple to make and will work...
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