Most of the skin options for buttons are for using buttons made from images. So to get the "styling", you must use an image editing utility to create images of the button using the text you want.
From the WebHelp skin editor, we have an option to select the color of the selected button -- the buttons are not actually an image. I supposed that if I selected another color, it will be applied to all the buttons?
Okay, I think I understand now.
Here's the deal. Even if you had images that you had created, there is no way that a new button that you add will simply remain on the "selected" bit after you click it.
The "selected" state will only ever apply to the TOC, Index, Glossary or Search buttons. This is because those elements cause a semi-permanent change to the WebHelp frameset by presenting the TOC, Index, Glossary, or Search in the navigation frame. Anything else is "temporary" and generally speaking, simply causes a topic to load into the topic frame.
If you want to see this change, you can vote for it by completing a wish form using the link below: