Hi,
Some statuses already have events are associated with them. I would suggest performing whatever actions you want to send notifications for and checking the event trace (SWEL). If there are no events that suit your purpose then you can configure a euro to be raised, whenever any statuses are changed. This is done in transaction BSVW - System Statuses. If I remember correctly, the status object for projects is PRJ or PRN.
Status management is very flexible. You can create custom events in a delegated subtype and trigger these using status management for in the status change you want.
Hope that helps,
Mike