I’m trying to implement something like the following graphic below; where the user has 3 possible options, and the current option looks like a depressed button.

Everything I’ve found so far wants me to use a CheckBox with the appearance property set; but that is for windows forms, and not a web application.
Is this possible to do?
With a web application you can replace the buttons image with another image (that of a depressed button), or enable / disable the button to give the effect that it has been pressed.
We need more info or sample code of what you have tried or what you want to try. For instance, are you dealing with image buttons?