When you're signed in as administrator and viewing any particular page there should be a link at the bottom of your page that says "page settings". Sometimes the administrator options are hidden initially and you have to click a grey up-arrow button in the bottom right of the screen to see them. Also some skins put them at the top of the screen instead, but either way look around you should find them.
Once you've clicked "Page Settings", you should see lot of different settings spread through a number of tabs. If you scroll down, near the bottom there should be an input labeled "Custom Menu CSS Class". Whatever you put in there will be literally copied into the class attribute of the generated menu item that links to the page whose settings you are editing.
You can then use that CSS class to style the menu items in any way imaginable really. I suggest you look through the administration pages, most of the content on them is simple and self-explanatory, but if you see something you don't understand look in the documentation on this site, it's very helpful.
Hope this helps,