They are just the basic custom statuses you can use already in Messenger Plus! (just not on MSN Messenger 7).
For more information on how to use this feature, take a look at
the personalised status tutorial.
More detailed information: say you change your status to Away and use the personalised status "Fishing", you will see your nickname as
Normal name {Fishing} (Away)
on the top of the contact list.
Someone with Messenger Plus! installed will see
Normal name (Fishing)
in their contact list, where (Fishing) will replace the (Away).
You can test this by adding yourself to your contact list.
Someone without Messenger Plus! installed will indeed see
Normal name {Fishing} (Away).
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