I have two tables:
Request:
RequestID | Msg
----------------
5 | abc
6 | def
7 | ghi
8 | jkl
SqlFiddle
This answer assumes you just want the RequestId & Msg from the Request Table where there is not a record in the RequestStatus table with that RequestId and a StatusId of 2.
You won't get extra records for Requests with multiple RequestStatus records using this query either (vs Left join).
Using the not exists clause is faster than Except, Not In, Outer Apply, etc in this article by Aaron Bertrand - Should I use NOT IN, OUTER APPLY, LEFT OUTER JOIN, EXCEPT, or NOT EXISTS?
select r.RequestId, r.Msg
from Request r
where not exists (
select 1
from RequestStatus rs
where rs.StatusId = 2
and rs.RequestId = r.RequestId
)