Well, this is because
MSN Messenger is designed to work with IE, and when you click on the email notificaction in the contact list you are using MSN Messengers's feature and not Plus!' s wich is the one you use when click on the new mail notification of a POP3 account.
Plus! doesn't mess up
, so you can't change how the mail notification in the contactlist works. With StuffPlugNG you could change the browser, but only that.