Obviously, both Thierry and Thomas posted good working options. For obj name evaluation, I prefer:

...
FOR cnt = 1 TO 9
   cLbl = '.DeMenuBut'+ALLTRIM(STR(cnt))
   IF PEMSTATUS(This, m.cLbl, 5) ...
      oLbl = GETPEM(This, m.cLbl)
      ... 
      oLbl.ForeColor = ...
      oLbl.FontUnderLine = ...
   ...

>I made a label class for menu options (you can make them so much more attractive that command buttons!), with the look I wanted. I then added how many I needed to the form (9 of them). The class name is 'DeMenuBut'. In the form designer, they are DeMenuBut1 thru 9. To change their appearance, signalling to the user which has been clicked, and which haven't, I run the code below, and it sets all the 'menu buttons' properties correctly.
>
>I made a variable to store the name of the object called MenButton, so when any menu button is clicked, it passes it's name to the routine below - the clicked button caption becomes red and underlined, and all the other captions are black, and not underlined. It works beautifully!
>
>

>cnt=0
>FOR cnt = 1 TO 9
>	ObjForecolor='.DeMenuBut'+ALLTRIM(STR(cnt))+'.ForeColor'
>	ObjFontUnderline='.DeMenuBut'+ALLTRIM(STR(cnt))+'.FontUnderline'
>
>	ThisObj='DeMenuBut'+ALLTRIM(STR(cnt))
>	IF ThisObj#MenButton
>		WITH this
>			&ObjForecolor=RGB(0,0,0)
>			&ObjFontUnderline=.f.
>		ENDWITH 
>	ELSE
>		WITH this
>			&ObjForecolor=RGB(255,0,0)
>			&ObjFontUnderline=.t.
>		ENDWITH
>	ENDIF
>NEXT 
>