Shoutbox

Download dependency walker - should be the first hit on Google. Next, open up msnmsgr.exe and see if it is looking for that reference. If it's not, then it's either a script or plus (as Cookie said) looking for something which doesn't exist. If it is, then your installation has been corrupted.

Have you tried an uninstall/reinstall of WLM yet? Also try removing plus and see if it starts working [as well as SP].

I'd be looking at doing a virus scan as well - RemoveDirectoryW is a wrapper to the API RemoveDirectory, which... removes a directory, funnily enough.