I think i solved my own problem. Without sessions and the lot. Was quite easy in the end, but thanx for your reply.
In MasterPage Load, loop through menu items and do some checks. Since the page being loaded accesses the masterpage, you just need to set the specific menuitems selected value to true. So, even though my item "AAA" has a different URL link, the menu item will be highlighted if it's own page is loaded, as well as when page "BBB" is loaded.
In SiteMaster Page_Load:
foreach(MenuItem item in NavigationMenu.Items)
{
if (item.Value == "AAA" && Request.Path == "/BBB.aspx")
{item.Selected =true;}
else
{
item.Selected = Page.ResolveUrl(item.NavigateUrl).ToLowerInvariant() == Request.Path.ToLowerInvariant();
}