No, not with just only the shortcut.
But you could create a small batch file or a windows script which closes all Messenger clients prior to open a new Messenger client. Use this batch/script as the "shortcut".
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However, there is another, maybe easier method. Simply patch Messenger to allow for polygamy.
Now, Messenger Plus! has also an option for polygamy/multi-msn (its a soft-patch, meaning the change is done in memory), but since you're going to run Messenger without Plus!, you can't use that option and thus you need to hard-patch Messenger instead (meaning the change is done on the actual physical file on your hard disk). This can be done with
A-Patch (the polygamy/multi-msn patch is on the last options page).
Once you've hard-patched Messenger, you can use the shortcut you already have to launch Messenger without Plus!, and without closing the previous instances (nomatter if Plus! is attached to them or not)...
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