There is an easier way. Create 2 Images. 1 as your unpressed state that will just be added to the JButton as an ImageIcon. the 2nd image should appear as you would like it to look when it is pressed. JButton has a method, setPressedIcon(ImageIcon img). Just use that method to set your 2nd image and when you click on the button, the second image will appear. Don't forget to setBorderPainted(false) and setFocusPainted(false) on your JButton. This will really make it look nice after you have applied your images.
Here is a good link for creating buttons in PSP.
Here is a link to a sample
applet I made using the above mentioned. When it prompts you for a username and password, just put anyting in and hit enter. There is no verification right now. The first 3 buttons are togglebuttons, but the 4th button is a regular JButton and has the effect you are wanting.
[ November 12, 2002: Message edited by: Gregg Bolinger ]