well, i dont know how your page is set up. But pretty much all you need is a variable that says where you are like
showpage.php?show=downloads
then when you come up to your menu, let's say it's a loop, you could do a switch for a default, or give an if statement for each case: like so....
if ($show=='downloads') echo "<b>Downloads</b>";
else echo "Downloads";
if ($show=='games') echo "<b>Games</b>";
else echo "Games";
well, in the echo"" on the true statement, you could do what ever you want, not just <b>, hope this gives you an idea