Look here.
That's a recent thread that dealt with this, though I'm sure I've seen quite a few others.
The trick is to shut down all Windows Explorer AND Internet Explorer windows, then just open one Windows Explorer window, then turn on the status bar, then go into Folder Options and click the Apply to All Folders button. From then on the status bar should stay alive on all IE and Windows Explorer windows. I've seen complaints by some that the setting still doesn't "stick" on their systems, but I've never seen this technique fail on any machine to which I had access.
- Collin