How to make a button stay active in the down state.

Okay, in Animate, you don't click on a state, you click on a button... which may happen to be displaying a particular state at the time. So apparently what you actually want is a visual toggle of what's in the Down frame of your button clip.

What you need to do is create a movie clip with two frames. The first frame blank and a stop() statement, the second frame whatever you want to display when the button is clicked. Then in the event handler for your button, put some code that checks the current frame of the movie clip. If it's in the first frame, go to the second frame. If it's in the second frame, go to the first frame.