As the others have said, this has got nothing todo with Messenger Plus! for sure. What you have updated is Windows Live Messenger itself, not Messenger Plus!.
But to be honest I seriously don't think the Received Files folder was deleted by Messenger either. Messenger simply isn't programmed to do something like that (Even completely uninstalling Messenger will not removed the Received Files folder).
If it realy was removed than it must be because of some other reason (maybe you catched a virus or trojan).
But more likely is that the location of the Received Files folder simply has changed. In this case, the old location (and all your files) would still be there somewhere on your hard disk. Use Explorer to search for it.
In case you didn't before: ALWAYS download stuff from the official sources and not from 3rd party sites. Because there are a LOT of fake or infected Messenger (and even Messenger Plus!) setups on the web.
For Messenger this is
http://messenger.live.com/ or any other official Microsoft site.
For Messenger Plus! this is
http://www.msgpluslive.com/
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EDIT: I'll stress again that this has got nothing todo with Messenger Plus!. Plus! does not touch the Recieved Files folder in any way, not with a fresh install, not with an update, not with an uninstall, not with daily use.
Even the updating of Windows Live Messenger itself does not delete files in the Recieved Files folder.
So whatever may happened, it it for sure not the fault of Messenger Plus!, nor Windows Live Messenger.
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