In the past there are loaders made by various people. People who programmed for the first time, people who had good experience. Also, different kind of loaders; loaders which simple startup msgplus and messenger and then quit. Or loaders which poll the memory to check on the status of messenger, etc... etc...
I've tested them all... all failed at one point or another (memory usage, polygamy, switching between winmsgr/msnmsgr, starting up with things like jnrzloader, etc.. etc...)
The best thing you can do IMO is to make a small VBS script which loads plus!, waits a few seconds (2 secs is more then enough) and then starts messenger (or jnrzloader for that matter), and that's it, after that it quits. Then you can startup Messenger and Plus! together with 1 click....
(the small vbs script can be found also somewhere on this forum)
Note: that all this isn't recommended by Patchou and it is on your own risk! Plus! is meant to be started up at bootup...