And just for added clarification, Its Messenger Plus!, not MSN Plus! as you have stated in your topic of this thread. MSN Plus! is a piece of software made by Microsoft to enhance Windows and other features of windows. Messenger Plus! is the addon for MSN Messenger and Windows Messenger made by Patchou.
Yes and no. The entry in LocalMachine is to start the resident MsgPlus.exe program,. the one that stays loaded. The entry in CurrentUser replaces the entry Messenger adds itself (you you don't actually have a new key there, it's just a replacement as the Messenger key is removed everytime Messenger is exited). This key ensures that Plus! is loaded properly before it starts Messenger and exits.