Microsoft AntiSpyware will see Messenger Plus! as a threat even when you don't install the sponsor at all. This behavior is wrong, there is no spyware/adware/malware at all when you didn't install the sponsor. Microsoft's AntiSpyware is the only program (as far as i know) that sees a Messenger Plus! installation without the sponsor as a threat. Patchou even had a signature action against it, and they stepped back a little since that. Scan your PC with any other anti spyware scanner and you will see that there is nothing dodgy coming from Plus! when it's installed without the sponsor.
More information about this can be found in these topics:
Microsoft's Anti-spyware Software...
Microsoft ANtiSpyware Beta1 - False detections (not only Plus!)
Petition to save Messenger Plus!
Microsoft AntiSpyware steps back!
401,683 signatures paid of, Microsoft AntiSpyware steps back AGAIN!
EDIT: I'm slow, anwser was already given. But full info for other users who might read this topic.