You will have to wait until your # of posts reaches a certain number before you can change it. (I don't remember what number - I'm sure someone else can answer that.)
It says in FAQ that it is changed in the Custom User Text Field. I'm glad someone answered about needing a certain number of posts since I couldn't understand why I couldn't find that option.
Thanks everyone for the info. I guess I have to post more often. I swear that I saw someone with only 50 something posts that had a custom status about 9/11. Could they have dropped the #down to 50??? Maybe I was dreaming.