You downloaded from an unofficial site.
Unfortunately there are quite a few sites offering free software and charging money for the download/usage. These site are hard to stop, Messenger Plus! itself is on several of these sites as well. Any attempts to shut them down failed so far. These sites try to make some easy money without any permission from the authors of the software they offer.
In the future please don't send any SMS to be able to download/use any software. Most of the time it's unclear what you're really paying or what these unknown companies do with your mobile number.
The latest Windows Live Messenger can be downloaded for free on
http://download.live.com/messenger
The latest Messenger Plus! Live can be downloaded for free on
http://www.msgpluslive.net/download/
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