OK - so you want the button to appear with no image when in the normal state, an underline when selected and a star when activated (for example). The only way to do this is to use a photoshop layer based menu, and accept that there will be some funkiness to how the menu works in different players.
A normal overlay menu has two elements, the background image (normally with the button text in it) and the overlay which holds the highlight shape. As such, there is only one shape per button, but we can get to change the colour of that shape according to different button states. However, we only get one shape...
In a layer based menu you can assign full colour images and different shapes for each button state because they work differently. These menus are actually a *series* of menus, each with a background from a different layer in your file. When built and played, the viewer is taken through different menu screens even though you are creating just a single menu... DVDSP constructs the others from your file. As a result, navigating these menus can take double clicks, is often slow and can't include any audio.
It's not often a good idea to use layer based menus unless you really must. There are precious few times when the graphics of a menu will suggest that a layer based approach is more beneficial than efficient navigation... but it's your call!