In Messenger Plus! 3.40.x (and later) the option to remove the advertisement banner from MSN/Windows Messenger has been removed. Here's an explication by developer Patchou himself:

"I removed it only now because the technical changes in MSN Messenger 7 forced me to reconsider this feature.

Please, try to understand. I know some of you really don't like this but it is final (and it's not like www.mess.be doesn't offer alternatives).

Though, the reason to remove this feature is not entirely technical, it was still possible to do. But I also felt this option had no place in Messenger Plus! anymore because Microsoft wants MSN Messenger 7 to start generating some real revenue and I'm not going to cause them troubles.

I also assure you that Microsoft never asked me to remove this feature from Messenger Plus!.

Thank you for understanding."

The feature-rich Mess Patch is a good alternative if you want to remove advertisements (among other things) from MSN Messenger.