Do you get an error during or after the Plus! installation?
It appears you have a program running that is stopping it from installing. I'd check the list carefully and compare it to your Programs list in Control Panel if you haven't already, you may have one installed without knowing. You may even have software incompatible with Plus! that we're not yet aware of.
Check you've recently downloaded and installed the latest version of
Windows Live Messenger and
Messenger Plus! Live.
You must be running Windows XP, Vista or 7.
If still no luck, you can boot into
Safe Mode (with Networking), which will run your computer with only minimal amount of programs. From there you can download and install Plus!, then run WLM. If it works, it means a program in normal Windows is obviously blocking it from installing.