And before anyone suggests it (without the proper warnings), let me say it right away:
The Messenger Plus! custom sounds, which are stored on your hard disk as .DAT files[*], are in a sense normal MP3 files already.
Just
copy the .DAT file to another location and rename it to .MP3 and you can play it in all media players.
But beware: do NOT put them back in the Messenger Plus! Custom Sound directory by renaming them back to .DAT. The chance is very high that your media player will mess the file up (even just by playing it) and it will be rejected by the Messenger Plus! sound server!!! For this reason you also shouldn't open/play .DAT files directly in your media player either, copy them first to another location!
Also, you can't simply rename a MP3 file to .DAT and use it as a Custom Sound. The proper way and only way of turning a MP3 file to a .DAT file is by importing the MP3 by using the import function in Messenger Plus!'s Sound Library (even if it was a .DAT file before).
[*] In these directories (under normal non-restricted circumstances):
Windows XP/2000:
C:\Documents and Settings\All Users\Application Data\Messenger Plus!\Custom Sounds\
Windows 98/ME:
C:\Windows\All Users\Application Data\Messenger Plus!\Custom Sounds\
The directory is most likely hidden, so make the proper adjustments in your Windows Explorer to view hidden files and maps.
The filename of the .DAT files are actually the sound ID's used in Messenger Plus! itself (see your Messenger Plus! Sound Library > Select a sound > Edit Sound > Internal Sound Identifier)
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