There isn't a way to do this using MSN Messenger. Some people have used
Trillian, which allows you to set and remember your status for MSN so when you login, it automatically logs in with you as "away" or "invisible." But even that won't let you chat with other buddies while appearing offline.
Yahoo Messenger lets you do this, and it's also possible with AIM if you first setup a direct connection to your friend, then logout of AIM (yes, it really does work!). But for MSN, no way.