I just wrote this whether everyone in here is using the same way or a similar way of making an animated menu. Here we go:

First, I make a hidden counter and name it MENU COUNTER change the initial value to 1 max value to 3( for 3 selections you can change if you want) and min value to 1. Then I place my active objects on the screen( 3 active objects are used normally New Game, Options, Quit) They have 2 animations one is the Stop animaiton were nothing is happening and the other is walking animation which is either a different color from the stopped animation or a looping different animation. All of them must have at least 2 animations. Then I go to the event editor and say:
- Start of Level set MENU COUNTER to 1
-Upon pressing key up subtract from MENU COUNTER 1
-Upon pressing key down add to MENU COUNTER 1
and here comes the tricky part:
-When Counter is equal to 1 set animation of NEW GAME to walking, and change the other objects animation to stopped(this includes OPTIONS and QUIT)
-When Counter is equal to 2 set animaiton of OPTIONS to walking, and again change the others(NEW GAME & QUIT)animation to stopped.
-When Counter is equal to 3 set animation of QUIT to walking, and again change the others(NEW GAME & OPTIONS)animaiton to stopped.

This became really hard when I made a Menu with 8 selections, I was nearly losing my mind. But to give you a tip: Copy the action for ex. when Counter=1 ... change animation to stopped/played, do it in a line row starting from let's say the top left ending at the bottom right copy and past it. It will be 100% faster.Ok let's continue:

This is for the ENTER SELECTED OPTION:

-Counter is equal to 1, Upon pressing shift(or enter) jump to level Start Level 1.
-Counter is equal to 2, Upon pressing shift(or enter) jump to level Options.
-Counter is equal to 3, Upon pressing shift(or enter) end applicaiton.
etc...

You probably make this menu with alterable values, well I don't understand them so I found this out. You can also use the counter to trigger other options in your game. I remember when I first learned about the counter I made an automated door, when the player came across an invisible active object, the object triggered the automated door to open and close when it hitted another object...

Anyway thanks for checking this article out and if you have any questions or advices for me please do reply back here.
Cheers!

***Rainbowgear***
***The Templar***