Hi,
First of all, this subforum is for support for Messenger Plus! only. Messenger Plus! is an addon for Windows Live Messenger. Your problem has got nothing to do with Messenger Plus!*. Thus this is posted in the wrong forums and as such it will be moved.
(* nor with Windows Live Messenger actually, see below)
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Anyways, with a laptop you usually have a socket where you plug in your headphones and as soon as you do that the sound of the internal speakers is turned off and routed to your headphones instead. An individual program can not work around this mechanism.
Also note that there are two different distinct playing devices for both sounds and voice. Things like video calling and voice calling (should) use the 'Voice Playback' device. Playing sound files and the likes uses the 'Sound Playback' device.
Although, in theory, a program could programmatically change the default output devices to whatever, it is very unlikely it does (because it can only be done via undocumented APIs). So it is very unlikely that this is a problem of Windows Live Messenger itself. It is probably a matter of wrong settings in your Windows OS' sound device settings.
Thus, in your Windows sound settings make sure you have chosen
the same default playback device
for both the normal 'Sound Playback' and the 'Voice Playback'. The default setting is normally the first entry in the dropdown menu. The second entry in the dropdown menu usually forces to use of the second audio output (which is normally the headphones plug on a laptop) at all times.
For
Windows XP:
Config Panel > Sounds and Audio Devices > Audio tab > Sound playback > Default device
Config Panel > Sounds and Audio Devices > Voice tab > Voice playback > Default device
For
Windows Vista/7, you can find detailed instructions here:
http://www.7tutorials.com/how-change-default-play...rding-audio-device
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PS: And make sure you aren't running any 3rd party tools which change sound settings on the fly. Such tools are almost always completely redundant and thus really not needed at all. They only mess with your settings and confuse you and take extra system resources. They can't do anything more that isn't already possible via the normal Windows sound config panel. Almost all sound cards (especially on laptops) install such stuff.