You can highlight the selected stap of the wizard control by editing the SideBarTemplate within the asp:Wizard control.
<SideBarTemplate>
<asp:datalist runat="Server" id="SideBarList">
<ItemTemplate>
<asp:linkbutton runat="server" ID="SideBarButton"/>
</ItemTemplate>
<SelectedItemTemplate>
<asp:LinkButton ID="SideBarButton" runat="server" CssClass="selected">LinkButton</asp:LinkButton>
</SelectedItemTemplate>
</asp:datalist>
</SideBarTemplate>
The ItemTemplate and the SelectedItemTemplate need to have a Button with ID SideBarButton.