Drupal 6: Having a menu where more than one Item is active
Drupal has built in the assumption that only only one item in a single menu can be active. 

You hack the core menu system or create your own, but both would not be recommended.

The best workaround I can think of, is to expend the menu and use css and JavaSript to show/hide the menus and mark them as active. This could be doable but might be quite hard if you have a complex menu structure.