Shoutbox

Personally I like general thought of ahmetgns in this case (and you guys should flame someone just because they aren't perfect with their english).  I might be taking a little poetic license here but it would at least complement his idea.

On the first time the user locks messenger then it will generate the window to warn them what is happening.  You could change the window to also include the image that it is going to change to in the system tray and an option to turn off the feature, as well as a pre-ticked "Do not show me this message again".

At least this way it stands out a lot more than the tooltip idea and gives more options and more information.

For someone who has used plus before or is aware of this feature then it is only an extra click or press of enter on the first use.

The window idea also fits in better with how Plus! operates IMHO and would be a better compliment to the rest of the software package.  It might need some tweaking in the window design and the features that it offers, but it isn't that impeding to have to press a button or enter once....