The simplest solution for you is to use something other than MSN Messenger. No no, I'm not saying you stop using the network, only the client. Trillian, Amsn, and GAIM all will run on the Messenger protocol, and in windows. As well, all of these clients have the away message functionality that you are looking for.
I'm only suggesting this as a short term solution to ger what you want now while you figure out how to go about doing it yourself.