OK, that is a clear description and is the sort of thing you should strive for in future. To do that, you would handle the MouseDown and MouseUp events. When the user depresses the mouse button it will raise the MouseDown event and MouseUp is raised when the mouse button is released. In those event handlers, you can assign a new Image to the Image or BackgroundImage property as appropriate.
You will probably want to handle the MouseEnter and MouseLeave events too. Try creating a new project with a Button on a form and watch how the Button behaves when you depress the mouse button over it and then drag the mouse out of and back into its area. You'll probably want to implement something similar. You'll need to to handle the situation where the depresses the mouse button over your Button, drags off and then releases.