Shoutbox

I'm afraid your best choice would be to lock them by hand, one by one.

Which can be done rather quickly though; by right clicking the floating window and then pressing <down> <enter> on your keyboard to quickly select the lock menu item.
I can lock/unlock 20 desktop contacts like that in under 10 seconds.

There is no way to do this automatically all the time because those settings are stored under an hashed key in the registry. And the algorithm to compute that hash is unknown.

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You could do it one time, for all the current desktop contacts, but that's it.

But that involves a lot of programming for something you would probably only use once. And by the time you have programmed all of this, you could have done the setting manually many times over.

It involves enumerating all the subkeys under HKCU\Software\Patchou\Messenger Plus! Live\<your live id>\Contacts.
Then checking if the DWORD key IsFloating is set (value 1).
If so, you need to create a new DWORD key named FloatLockPosition and set it to 1.
After all that you need to restart Messenger.