Well, looking into the source of that site, I see it simply uses a hover CSS bit in the menu DIV.
HTML:
code:
<div id="herehovers">
<a href="/index.htm">Index</a>
</div>
CSS:
code:
#herehovers {
/* how the normal things look */
}
#herehovers:hover {
/* how it looks when the mouse is over */
}