Actually, you can do it easily with a plugin by using the PlaySound api
MsgPlus! uses the MCISendString api that works when another sound is playing.
The PlaySound api is only playing a sound if another sound is playing.
So when your contact sends you a sound, and the window doesnt have focus, the sound will try to play but the sound that is played when a message is received, will stop it...
The downside is, that the other user would need the plugin.
Also, I believe that it's illegal to extract the sound from Messenger Plus!...