There is a plug-in that remembers your last status, but it will change your status after signing in. That means that you will always appear 'online' first, and then your status gets changed. The plug-in is called StatusSaver, and you can download it
here.
Put the file that is in the zip file in your plugins directory, and close (Exit) MSN Messenger and reopen it. Now, after you change your status to something else and you sign off, a file OldStatus.dat will be made (if I remember correctly, in the plug-ins folder) and when you sign on again, it will change your status very fast.
If you wish to always change your status to a specific one after signing in, set your status to that one, sign out and make the OldStatus.dat file read-only
For signing in as appear offline, this is not a very good solution: you will always appear as 'online' first, before the plug-in changes your status. To sign in as appear offline, there are other methods: CookieRevised described them all at
CookieRevised's reply to how to sign in on appear offline? 
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