Shoutbox

The 2nd screenshot is normal behaviour. Skins can not control the "Aero" borders present in Vista or Windows 7. With older versions of WLM (< 2011), it was possible to remove the Aero border and replace it with a different border (the same as was used on Windows XP). As WLM 2011 is not available on XP, there is unfortunately no way to remove it

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EDIT:

The other problem seems to be that the windows isn't loading a few of the image files correctly. I'm currently looking into this.

Confirmed, images are not loading correctly for Stealth2 (and potentially other skins) on either the options window or the about window.

Windows 7 (64-bit)
Windows Live Messenger 2011 (Build 15.4.3508.1109)
Messenger Plus: 5.02.0.712 (Released 17/05/2011)

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EDIT2:

Managed to fix by moving the contents of the "Plus!" folder ("C:\Program Files (x86)\Yuna Software\Messenger Plus!\WLM-Skins\Stealth\Plus!") in the skin's directory to "C:\Program Files (x86)\Yuna Software\Messenger Plus!\Interface".

I don't know if this is a just a problem with Plus! not reading the files properly from the old location or a problem with the skin (although you said it happens for all skins).

From what I understand (I'm by no means a skinner), the Interface3.xml and Interface4.xml files (One of which also appears to be named incorrectly; it contains a space) will always be read from the new folder, not just when the skin is enabled so you would have to manually remove it again afterwards. Whilst this isn't a perfect fix, it may let you better understand the options you want to choose.