Yes it is possible. Steps to perform:
1. Create a rectangle.
2. Select it, right click and select Interactive-> Convert to Button.
3. In Buttons panel, select 'Click' state under 'Appearance' and change appearance of your button like add drop shadow to it and your click state is ready.
Similarly you can change Rollover state as well.
For achieving your behavior, what you can do is create three buttons, one normal, second with tick and third with circle. Initially hide second and third button and on trigger of first button show second button and hide itself and then click of second button show third button and hide itself. There is an action Show/Hide buttons in Buttons panel which you can use to achieve this.
I think it’s important to find out what the target output of this project
is. This won’t work for all of them.
Thanks for your replies, this information is very useful.
This is to a degree what I was thinking.
My idea is to have the size of a square / rectangle that every time you click that shape it changes it's icon. (Tick / Cross)
i.e. having 2 / 3 icons over the top of one another, but changing icon when clicked. (if this makes sense)