It sounds like you installed the sponsor program. This program was added to Messenger Plus! to support the author, Patchou, and provide him with financial means to keep developing Plus! (seeing as he has no other job). It will make some changes to your computer, such as add desktop shortcuts, added favourites and an Internet Explorer toolbar. In order to do so I think it starts this process.
The sponsor program is completely optional and you can easily uninstall the sponsor program if you do not wish it to be on your computer: see
How to uninstall ad-ware/sponsor 
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