I have MSN Messenger 7.5.....on the sign in screen, just under the password box is an option to set the way others see you.........once you have signed in you can only change by selecting... File...then My Status... then Online etc.
By the way..... showing your Status as "Away" still allows you to contact your friends as normal.it just lets them know that you MIGHT not be actually at the PC. You can also type and send a text message in that mode ,maybe to let them know you tried to get them......commoner