Sorry, but Lisa is NOT asking about the InBuilt states (Normal, Rollover, Down) at all! Read the question carefully, please.
She is asking about a 'Clicked' state, which is NOT and InBuilt state at all.
@Lisa The easiest way is with states. I mostly use shape buttons, because they are so much more flexible than the older types of buttons. You see in this Object State panel, that I changed the text on them for Rollover and Down state, that is impossible for Text and Transparent buttons, and for image buttons text must be in the image which means that every time you want to change the text you have to recreate the three images. Not very user friendly, because it even has to happen in another program.

You see that on top of the three InBuilt states I created a custom state 'Clicked'. Do not let you confuse by this panel: the button has the same size as in the InBuilt states, but the thumbnails have a fixed size, hence the last state is showing more of the stage than the three InBuilt states.
If you want the Down state to be the same as the Clicked state, you can do that perfectly as well, but I wanted to show that it is a different state. With this setup you can have the Clicked state replacing the Normal state (beware: the Rollover and Down states will remain the same) after having clicked the button with this work flow:
- Create a standard advanced or shared action (in this article I used shared actions: 1 action = 5 Toggle Buttons - Captivate blog
- Add the command 'Change state of MyShapeButton to Clicked
- Put the command that you want to be executed by that button (like Jump to Slide X)
If you are navigating away of that slide, the state 'Clicked' will only be preserved in 9.0.1.320 - not in the previous version - if you check the option 'Retain State on slide revisit' which you'll see in the upper part of the Properties panel of the button.
Let me know if this is what you are looking for? If you want to have the Rollover state to be changed as well, you'll need two buttons, and will have to replace the first button by the second one that shows all states in a Clicked version.