John,
You are confusing Navigation with Selection. Selecting a node is a function of posting back to the same page. When you click on a link with a NavigateUrl set, you are navigating to a new page. This can sometimes confuse people when used with a masterpage. A masterpage is just a template, it does not maintain state between navigations.
That said, if you bind to a SiteMapDataSource, there is special code which can autoselect the current node. Alternatively, if you write a similar piece of code in a Load event for your TreeView, you can cause a node to become selected and your style to appear.
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Danny
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