As so many people seem to have this problem, I've compiled all you need to know here.
First, this problem only seems to affect non-skinned Messengers. Therefore, if you have a skinned Messenger, carry on merrily away
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If you don't have a skinned Messenger, and you've told Plus to hide the adbanner, it may still show. If that is the case, then apply the AdRemover patch for your version of Messenger.
AdRemover for MSN Messenger 6.2.0137
Direct Download of AdRemover for MSN6.2.0137
Others will be added as and when I find the links
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Note to admin: This could be a good sticky...