Hola Javi,
la propiedad para poner la franja azul se puede hacer definiendo un borde en CSS a la derecha:
border-right-color: blue;
border-right-style: solid;
border-right-width: 7px;
podrías imitar el menú de MySpace con este código que te envío a modo de ejemplo:
<!doctype html>
<html>
<head>
<meta charset="utf-8">
<title>Menú</title>
</head>
<link href="css/estilo3.4.1.css" type="text/css" rel="stylesheet">
<body>
<nav>
<h1>Discover </h1>
<ul>
<li><a href="#" class="welcome seleccionado">Welcome</a></li>
<li><a href="#" class="featured">Featured</a></li>
<li><a href="#" class="people">People</a></li>
<li><a href="#" class="music">Music</a></li>
<li><a href="#" class="mixes">Mixes </a></li>
<li><a href="#" class="videos">Videos</a></li>
<li><a href="#" class="radio">Radio</a></li>
</ul>
</nav>
</body>
</html>
y para el CSS:
/*
* @Prometeus Technology, a subsidiary of Pegasus Tech Supply
* @copyright Copyright (C)2013 Leonardo Tadei. All rights reserved.
* @license http://www.gnu.org/copyleft/gpl.html GNU/GPL, see gpl-3.0.txt
* CSS is free software. This version may have been modified pursuant
* to the GNU General Public License, and as distributed it includes or
* is derivative of works licensed under the GNU General Public License or
* other free or open source software licenses.
*/
nav {
background-color: #666;
font-family: Arial, sans-serif;
color: white;
width: 170px;
margin: 22px;
padding: 0px;
float: left;
}
nav h1{
font-size: 14px;
padding: 6px;
}
nav ul{
list-style: none outside none;
margin: 0;
padding: 0 0 0 4px;
}
nav a{
display: block;
color: white;;
text-decoration: none;
font-weight: bold;
font-size: 11px;
padding: 6px 26px;
border-top: 1px solid rgb(60, 60, 60);
border-bottom: 1px solid rgb(40, 40, 40);
opacity: 0.5;
}
nav a:hover{
background-color: #333;
border-right-color: blue;
border-right-style: solid;
border-right-width: 7px;
opacity: 1;
}
.seleccionado{
color: #fff !important;
background-color: #333;
border-right-color: blue;
border-right-style: solid;
border-right-width: 7px;
opacity: 1;
}
.welcome{
background-position: left top;
background-repeat: no-repeat;
background-image: url("data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAABAAAAAQCAYAAAAf8/9hAAAA1ElEQVR42p2RMQrCQBBFA4JVKitBEGwDghAQrKxsU6UVbNNaWdl6Aw/gDYRU3kCwshJSCYJgGwgIwvjBDw4LsyH58Fh2Z/axwwYiYjElgQ9fMZFfdm0FkfyTtRGESlCCfhPBgmupJJsmghMYg6cS3Fjr1gkG4A1SRyCULusEezZvKRJnjAPoWYJQzf0Bbo4cL7EEmfjzAgVYW4LcuFiCSo9iCR6GIAeF2q8sQWUIUnBX+8gSXMQJzzoc4wrOvm+c61eweUTBhF88MwVkSFHMi7oWu/1f5plX8UUWYPkAAAAASUVORK5CYII=");
}
.featured{
background-position: left top;
background-repeat: no-repeat;
background-image: url("data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAABAAAAAQCAYAAAAf8/9hAAAAIklEQVQ4y2P4//8/AyWYYVAZQCqgnwtGA3HYuWCQRyNZGABHxS/7OP4PhAAAAABJRU5ErkJggg==");
}
.people{
background-position: left top;
background-repeat: no-repeat;
background-image: url("data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAABAAAAAQCAYAAAAf8/9hAAAAy0lEQVR42r3TMQcCYRzH8eOmiDgi7h00td4UR+/giJuiKZpaoymOiKa46V5A9DKamiKOiIim42g6jqfvEP097p6G6MtneYbf8DweSyn1k78MtJAgR4rANDBAjDXasBBDVqJXNeBDdoaNC/SmVQMb6HWxg55fNTCCLEMTLo7vswLzujuwEeGGA/qwBBf2t1dwEMATZx72yJBiiUbVwAKl+jRGiAJ6JzhyYAbZHR08UddWDlwhSzCEqYcc0IswgTE5kEO2QghT2b8+k9kL4fpjkSwZWzYAAAAASUVORK5CYII=");
}
.music{
background-position: left top;
background-repeat: no-repeat;
background-image: url("data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAABAAAAAQCAYAAAAf8/9hAAAAjElEQVR42t3TsQmAMBBAUcEBBMEZbB3AygGcwUoQnMExrBzAMQQ3cICAINjaCkL8hUUIKY5o5cFrjuM3IYHW+hXJUYwSNXpMkkCKDjPsOQQBYz4ObBAHNoxokD37SBywd/8IFKh8A4PkGXMsWB2B0wgoVyDEbhxdVqB9wgoFnAFlBEafz5SgQunxG/3dw4E36s7hd20AAAAASUVORK5CYII=");
}
.mixes{
background-position: left top;
background-repeat: no-repeat;
background-image: url("data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAABAAAAAQCAYAAAAf8/9hAAAAYUlEQVR42sXTwQkAIAxD0WwmdP9VOkP17MeIKCgUvORJS1VVXdVD4PCsgBzVzIttVDoggDAcDhAQhmWBCYnpri0ABGEPsGe24wH2zJl4gAMTEANwYETCAAivkHq2yv9/Ywd23EOizeJ1VgAAAABJRU5ErkJggg==");
}
.videos{
background-position: left top;
background-repeat: no-repeat;
background-image: url("data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAABAAAAAQCAYAAAAf8/9hAAAAdklEQVR42t2TMQqAMAxFBY/RqWuPJHgnJ+8hFLxNoWcoZI1/EMzQEkMW8cObGl5Jmk7M7OI7ggAO0FhPu2uDFGSQDDcnkKWg9AoVaZGCOigisAzOqi54soHZI9itAtnC+qIF/xAziIZnjODsLRKxHpKL9IPPdAHjkSooxdeLnAAAAABJRU5ErkJggg==");
}
.radio{
background-position: left top;
background-repeat: no-repeat;
background-image: url("data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAABAAAAAQCAYAAAAf8/9hAAAA+ElEQVR42r2SwQYCURiFhxhazartrKLV0KpVbxBDbxCzmlUPMA8Q0SoiomeI3mBo1apV2xgiIlpF3E75LtfdzCL185k7/zn/uXfcCYwxX+G+RKJRN4An8gNCUYpFXQCenQjdgFw8RCIGVvQI0RK8uRtwEGvEp8jot0WHdYaWiJU42ICWeFcq5qJit5GwNaZX4Unpt94BXWF4bsWGHUtD2d3Qtu4Mx/xUn8/YY544AUt6ezx9+m17LVdRiCHCkP5Z3EXoaQUzjYDkqbiIiGuK6Z/EjXWMFuGdubfQFEd7VPACQB68miEAeuxSFxDj9X5lqA2APwXATwNe1Wc9ii9fhiUAAAAASUVORK5CYII=");
}
Podría ser más eleganet, pero funciona ;-)
Suerte compañero! ;-)