It doesn't appear you can do this in MP!L, however I've been searching for a script and there is one called Answer Phone.
Download:
http://www.msgpluslive.net/scripts/view/38-Answer-Phone/
(If you don't know already, scripts adds extra features to Windows Live Messenger with Messenger Plus! Live.)
Go to the link above, download it and import it.
Then follow these instructions shown in the images:
And an auto-responder message will be sent to contacts with the selected statuses!