You can use whatever you want (including multiple DLLs). It doesn't matter if you call functions from another DLL from inside that main DLL (calling Windows APIs is a nice example. All those Windows APIs are included in other DLLs too).
But the main DLL, the actual DLL which gets loaded by Messenger Plus!, must be programmed in the proper way so it is reconized as a Plus! plugin.
See the plugin documentation and examples:
http://www.msgplus.net/help_plugins.php
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