There is no exe, Messenger Plus! Live opens automatically with Windows Live Messenger.
If you aren't seeing the icon on the contact list then please check the following thread:
Messenger Plus! Live Disappears after restart
If you don't have any of those and it shows up as "Not loaded" when you click the "Plus!" item in the menu, then e-mail to support@msgpluslive.net and Patchou will send you a special debug version to work on a fix