If you are using the CSS List Menu webpart (which it looks like you are) you can choose to show or hide the auto generated styles by checking/unchecking Render CSS classes. If using the auto-generated styles, each link (< a > tag has the style
CMSListMenuLinkHighlighted applied to it. You should be able to style with that class.
You can also Highlight all items in path by checking/unchecking that box. This will put the
highlighted class on the full path to the selected item.