I just a few hours ago posted the code in another thread to allow these to work as you desire. Without going through all the explanations, change the classname code like this:

class="category-links"

to

class="category-links' . ($current_page_base == 'products_all'? '-selected': '') . '"

using the correct page name for each link.
This will be in the address bar when on the page, as main_page=products_all or whatever.
PHP Code:
    if (SHOW_CATEGORIES_BOX_PRODUCTS_ALL == 'true') {
      $content .= '<a class="category-links' . ($current_page_base == 'products_all'? '-selected': '') . '" href="' . zen_href_link(FILENAME_PRODUCTS_ALL) . '">' . CATEGORIES_BOX_HEADING_PRODUCTS_ALL . '</a>' . "\n";
    } 
Then you can style
.category-links-selected {} in your stylesheet.