Oh, the answer is I also have to change the unselected style. Here the code
b_menu.getUnselectedStyle().setBorder(null);
b_menu.getSelectedStyle().setBorder(null);
b_menu.getPressedStyle().setBorder(null);
b_menu.setIcon(ImageUtil.loadImage("/menu.png"));
b_menu.setRolloverIcon(ImageUtil.loadImage("/menu.png"));
b_menu.setPressedIcon(ImageUtil.loadImage("/menu.png"));
b_menu.setName("menu");
b_menu.getStyle().setBgTransparency(0);
b_menu.getStyle().setBgPainter(new LinearGradientPainter(0xcf266a, 0xcf266a, false));
b_menu.getSelectedStyle().setPadding(5, 5, 5, 5);
b_menu.getSelectedStyle().setMargin(0, 0, 0, 0);
b_menu.getSelectedStyle().setBgTransparency(0);
b_menu.getSelectedStyle().setBgPainter(new LinearGradientPainter(0xcf266a, 0xcf266a, false));
b_menu.getUnselectedStyle().setPadding(5, 5, 5, 5);
b_menu.getUnselectedStyle().setMargin(0, 0, 0, 0);
b_menu.getUnselectedStyle().setBgTransparency(0);
b_menu.getUnselectedStyle().setBgPainter(new LinearGradientPainter(0xcf266a, 0xcf266a, false));
b_menu.getPressedStyle().setBgTransparency(0);
b_menu.getPressedStyle().setBgPainter(new LinearGradientPainter(0xcf266a, 0xcf266a, false));
b_menu.addActionListener(this);
b_menu.repaint();
Thanks for viewing this question!
Regards
Giri