<style>
#menu ul li:current_page_item a
{
color:#666;
}
</style>
current_page_item will be active your menu
in style.css
<div id="menu">
<ul>
<?php wp_nav_menu('menu=main_menu'); ?>
</ul>
</div>
in header.php
1: menu = our own custom menu
2: main_menu = is the name of register menu you can change it (top_name, bottom_menu,sidebar_menu,etc) if you want.