look for a new icon in your notification area (bottom right; by the clock). It usually looks like a grey disk with tubes/pipes underneath. If you hover your mouse over it, you will see 'Windows Live Messenger'. If you still can't spot it, here's how it should look like:
-- Double click this icon to bring your Messenger back. If that doesn't help hold "Ctrl" while you double click
Then go Plus! -> Preferences -> Messenger -> Messenger Lock and you can see the keyboard combination there.