Not sure... I can only see the 'JUMP MPEG' start-up item. I can't see any links to support Msg Plus!
Edit: I had to execute the program myself and now I have the desktop items, toolbars etc.
Edit: I uninstalled it and apart from leaving "BURNEACHMODE" in "Aplication Data", it appears to have gone without any trouble at all
Edit: Today I found 'Advert' in 'Program Files' it contained an unstall file which I ran. It said "bad elmo you must install this software as part of the parent program. Press OK to exit." so I searched google and it found a result which shows this was created by the sponsor program. Now I'm not sure what else it has left behind
Google search results