Many of us keep our messengers on even when we are not around the PC, however there are people who will still try and ping you when you are away, sending them a short message that you are not around does help, so that they do not continue waiting for your reply.
If you are a Gtalk user, you can use a software called Gtalk Autoreply to send a autoreply to be sent out if someone pings you when you are away from the computer.
Once you have downloaded the software you can set a custom message to be sent out when you are away, the message is customizable.
After enabling the Autoreply if anyone pings pings you on Gtalk they will see the message you setup, definitely useful if you use Gtalk a lot, however
we would like to see the ability to disable the accompanying link in the autoreply message, the developer took note of this and has removed the link going out in the autoreply message.