While it may be possible to do this with plink alone, that involves some obscure functionality (--make-set-border, --gene-all, ...). I recommend creating a BED file (https://genome.ucsc.edu/FAQ/FAQformat.html#format1 ) with the positions of your variants, using bedtools or a short script to add 1 MB windows, and then plink --bfile ... --exclude range <windowed BED filename> --make-bed to perform the filtering operation; each step of this workflow is more likely to come up in the future.

Note that BED files are supposed to use 0-based interval coordinates, instead of the 1-based coordinates in VCF and .bim files. However, the difference doesn't really matter when we're talking about 1 MB windows.