When you download ("Save") Messenger plus! from
http://www.msgplus.net only one file will be downloaded, that's the installer. So after you saved to your computer you can install Plus! by doubleclicking that file. Choosing "Open" will result in immediate installation of Plus! without the installer beeing saved on your computer (meaning you'll have to download again may you ever need it).
Edit:
please don't doublepost, see Forum Rules, use the Edit button instead Thank you