It looks like you know that when triggered, the this.setStatuscontext variable thiswill refer to the element that received the event (i.e. yours <body>), and not to myObject.
However, you really should not refer to the myObjectinside of the object itself - the object should not know that it is being called outside of itself.
To decide what you can pass thisas an extra parameter .mouseMove, this way:
$("body").mousemove(this, this.setStatus);
data:
setStatus: function(ev) {
var self = ev.data;
$("body").append("<div>Mouse Move by: " + self.name + "</div>");
}