Well, this is because
![(M)](images/smilies/msn_messenger.gif)
MSN Messenger is designed to work with IE, and when you click on the email notificaction in the contact list you are using MSN Messengers's feature and not Plus!' s wich is the one you use when click on the new mail notification of a POP3 account.
Plus! doesn't mess up
![(M)](images/smilies/msn_messenger.gif)
, so you can't change how the mail notification in the contactlist works. With StuffPlugNG you could change the browser, but only that.