With each version of Yahoo! Messenger, this gets easier. Just click below your name, the spot where you might have already selected “Available” or “Busy”. This word—your status—becomes a highlighted entry in a box where you can either type whatever you’d like (including a web address (http://www.yahoo.com, or whatever)), or select one of the standards (Available, Busy, Offline) from the pull-down menu.
For example, click Available below your name, then type “Gym”. In the pull-down menu below, select whether you’d like “Gym” to signify busy (yellow disc with white line through it) or available (yellow disc). That’s it—once you press Enter on your keyboard, “Gym” is what people will see as your status.
When you return from the gym—or wherever it was that you went :o) —click Gym beneath your name to re-open and adjust your status. Click one from the pull-down menu, or type a brand new one.
Tomorrow, when you’re on your way to the “gym” again, just type “g” here, and you’ll see “Gym” appear just below. Click it to autocomplete. Simple! Of course this is even more convenient for long, involved status messages like “studying for bioinformatics exam”. :D