The menu will be created as window, and the options should be buttons on the window. Then you can define a "hover image" for the button, which is displayed when the mouse pointer is over it the button. This image doesn't have to be a static picture, you can use an animated .sprite file as well.
For example, check the menu in WME demo (interface\menu\menu.window), it uses the IMAGE_HOVER attribute in exactly the same way you want to achieve, only it uses static BMP's. In your case, you will use sprites to animate the hover effect.