The first step is to add a Button to your Menu. Now double-click on the Button to open the Button settings window.
If your Button will use images (JPG, PNG, GIF, etc) then click 'Change Button Style' and choose 'Empty Image-Style Button'. Now select the images to be used for Idle, Mouse Over, and Mouse Clicked by pressing the 'Find ...' button on each of those tabs and selecting your style. Press 'Save this Style' and give your new style a name. This button style will now appear in your library.
You can also create a style by choosing the 'Windows XP' style and modifying the colors, gradient, and roundness attributes.
You may also load an existing style, modify and create a new style.