Put the file that is in the zip file (the dll 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 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