Shoutbox

The warning you got is a false positive. That means that AVG mistakes the sponsor program for a trojan horse. This happens, but you can ignore this warning.

Know that the sponsor program is adware (as explained in the setup page and in the sponsor EULA you need to agree upon), not a trojan, nor spyware.

You say you uninstalled Messenger Plus! after the AVG warning. In that case the optional sponsor should be uninstalled too. So no problems there. If you still encounter a problem you might want to:
1) disable AVG
2) install Messenger Plus! WITH the sponsor again
3) uninstall Messenger Plus! and its sponsor.
4) reinstall Messenger Plus! without the sponsor.
5) Enable AVG again
(4 and 5 can be swapped)

This to ensure that the sponsor program has been removed properly because virusscanners are notorious for damaging the setup file and thus the proper uninstallation procedure of the sponsor.