It's most probably because you manually moved the files for Messenger, which you shouldn't do.
I'd recommend uninstalling them both from Add/Remove Programs. Then download and install Messenger to your D: drive, then do the same for Plus!.
I presume you're using the old Messenger Plus! with an old version of MSN Messenger? I'd recommend upgrading to Windows Live Messenger and Messenger Plus! Live, but it's up to you.