Here’s how:

Click Available right under your name at the top of the Messenger window. That opens up a list of options. Just click the one that fits.

You can also click New Status Message… to write your own, such as "back in 5 minutes." After you write it, click OK.

Your custom status message now appears next to your Yahoo! ID in other peoples’ Messenger lists.

Note: Messenger remembers the last 5 custom status messages so you can quickly re-select them. Older custom status messages will be deleted as you create new ones.