Well to achieve that type of rope is quite easy. Because it doesn't behave like a real physical rope i.e - it doesn't ever have any visible slack. To make a real rope using a physics engine you will either need to use many small segments (worse performance
and stability, but simpler to implement) or a custom colliding rope joint.
The image helps define what I'm talking about. I'm not sure on how I would go about implementing all the details but by using the rope joint from Farseer you should be able to enable really stable colliding ropes, even with large mass differences.
I hope this makes sense. All the collision detection for the rope will have to be done by you. I won't go into just how to accomplish this but it shouldn't be to hard.