What you do is use an Image button. You create three different images to use. One for natural state, one for moused over and one for clicked.
Look in the properties for the button object and ensure the type is set to Image. Then you will see the images. There will also be a file browsing icon you can use that will open the location of the existing images. That will help in identifying the naming convention you need to use if you are using custom images.
Thank you Rick. So, if I'm following you correctly, in order to do this, I need to design the buttons outside of Captivate (Illustrator or Photoshop) and use those images to create the button?
Yes, assuming you don't wish to use any of the supplied button images, that is correct. Captivate has a whole slew of them but you may wish to use a totally custom solution. Just be sure to name them using the _down or whatever so that Captivate will recognize them.