Messenger Plus! loads in LocalMachien for a good reason: the global hook must be set as soon as possible and values in LocalMachien are run before values in CurrentUser. Also, most people want Plus! to be running in all of their sessions.
I suggest you download the latest version, go in the preferences, Misc section and enable Alternate Mode. Once this will be done, you can remove MsgPlus.exe from your startup and it won'T ever come back again after an update
.