There is no way to do this directly in our interface, so you would have to edit the css manually and possibly the javascript after creating the page.
This is a potential addition we are considering for the next version... we curently have horizontal and vertical menu support, we are considering adding tabbed menu, and accordian menu support in a future version... what you are describing is how a tabbed menu would work.
Unfortunately it is currently unsupported, so you would be on your own for the most part.