MSN provides no way for me to appear to be Online to some people and Busy to others. This sucks. So from now on, I'm going to always appear Busy (or Away, if I'm not at my computer), even when I'm not busy.
So any time you want to chat, feel free to ask if I'm busy. Of course, this is no different from cases where I'm Online, but I've found that when I'm Online some of my contacts have No Manners and don't ask if it's a good time to chat. I feel it's not my place to tell them that they need to leave me alone, so I chat with them anyway, and feel Majorly Fucked-Off that they're intruding on my time/privacy/whatever.
In short, just chat as before, and forget that my status reads Busy. (P.S. That last sentence does not apply to you if you're one of the aforementioned No-Manners people. Having said that, if you're reading this, you're likely not to be guilty, so don't get paranoid. :-))
(Okay, I'll add: I'm most likely to use the Busy status when the No-Manners people are Online. Other times, I'm just as happy to be Online.)