You can do this by editing the Status Reason on the Opportunity Entity attribute.
If you are not familiar with customizing - make sure you read and understand what you are doing. I'd hate for you to break your CRM installation.
Go to Settings, Customization, Customize Entities. Scroll through the list to Opportunity and double-click it.
In the new window, click on attributes on the left-hand site and on the right hand side scroll through to statuscode (Status Reason) and double-click it.
In the new window, on the right-hand side click in the state pull-down and select lost. Edit the values as required in the area below. When done, click Save and close on the Attribute, and then save and close on the opportunity entity.
Back in the main application ensure that Opportunity is selected in the list of entities and click on publish.
Hope this helps.
