When you try to download what and from where? Nothin should set VLC as default program to open anything either
Just downloading a script won't install them, you need to doubleclick the saved file to import the script...besides the ones that are in Plus!Live installer, they get installed for you (if you ticked them).
You can find and edit/stop/start/delete all scripts from Plus > Preferences > General > Scripts or from the script icon in the contactlist (the lil coloured blocks..choose preferences). Generally a script has a menu under the scripting icon too, you can set their preferences etc there.
Wich messenger version do you have (help > about...full number please) and wich OS (Windows version)?