No, there is no direct option to remove the ads...
The reason is still the same as it was years ago.
See '
'MSN advertisement banner' removal'.
Basically: without those ads there would be no (free) Windows Live Messenger. Without Windows Live Messenger, there is no Messenger Plus!. It would also be very dubious if Plus! would remove the Messenger ads while on the same time Plus! needs similar ads to be able to survive.
/ 
