Hi, I do not use Expression Web, I use Visual Studio, I would use the DynamicMenuItemStyle, here is the markup:
<asp:Menu BackColor="Gainsboro" ID="Menu1" runat="server">
<DynamicMenuItemStyle BackColor="#FFCCFF" BorderColor="#009999" BorderStyle="Dotted" BorderWidth="1px" />
<Items>
...
....
..
</Items>
</asp:Menu>