To set the status of an asset, select one or more assets on the thumbnail grid page (tip: use Shift and Ctrl-keys to make multi-file selections) and then click on the Set Status button in the Action bar. Finally, click on a status in the overlay to apply it to the selection of files.
Setting status on the Details page
When viewing an asset on the Details page you can set its status by clicking on the Action button and then choosing Set Status. Then choose a status in the overlay dialog.