Right click a unoccupied space space on the desktop or in a folder -> New -> Shortcut -> Browse to the current location of msnmsgr (most likely C:\Program Files\Windows Live\Messenger), then affix the /PlusEnabled=0 (after the quotation marks) at the end as CookieRevised said
Alternatively you can go to your messenger folder and right click msnmsgr.exe -> Create Shortcut...right click that -> properties, and in "Target", after the quotation marks add /PlusEnabled=0.