Hello Takeshi-Jay,
Messenger Plus! comes bundled with an optional sponsor program. This means that you are never forced to install it; during installation you can choose to install it, but you can also choose not to install it.
Programs such as Microsoft AntiSpyware recognise Messenger Plus! as an adware bundler - which it technically is, the sponsor is adware only, no spyware - and they actually list all the files in the directories, all registry keys and so on. However, if you did not install the sponsor, there's nothing of the such on your computer.
If you did install the sponsor program, you can easily unstall it by following the instructions at
How to uninstall ad-ware/sponsor. However, if you did not, you can simply ignore the warning (I believe Microsoft AntiSpyware's default action is actually ignore)
If you have further questions, don't hesitate to ask them
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