Today I just realized that YM don't have the menu/setting to delete the custom status messages.
So, how to delete it anyway?
1. Just type another custom status message
From the Yahoo Messenger official site:
Yahoo! Messenger "remembers" the last 9 custom status messages you create. If there are currently 9 custom messages in Messenger's memory and you add a new one, it forgets the oldest one and replaces it with the new one.
Although there's no way to manually delete the old custom status messages, they'll be deleted as you make new ones.
That's why no available setting/menu to delete it right? It's automatically deleted!
2. Delete it the hard way
a. Click START
b. Click RUN
c. Type "regedit" without quotes
d. Select the tree with the following:
HKEY_CURRENT_USER\Software\yahoo\pager\profiles\"Your YM ID"\Custom Msgs
At this point you can see all the custom messages.
e. Right click on the selected messages in NAME column and click DELETE
Repeat this step if you want to delete more status
3. Delete it the easier way
Just download Andy's Clear/Edit Yahoo Messenger Status History utility.
4. If nothing works for you, try to reinstall YM again :)
Just give comments if you want to share more tips to delete it.