Well, Stuffplug no longer has this feature and hasn't for a while. Although, the latest version of Messenger Plus! has this feature, so first go to
http://www.msgplus.com/download.php to download the latest version. (Make sure you have the latest version of MSN too:
http://messenger.msn.com). Install them both, then open MSN Messenger, go to: Plus > Preferences > Instant Messages > Tabbed Chats. You can configure it from there.