[DAKz]

Since you did not say if you were making the theme from scratch or modifying the available avatar theme, I have to be pretty basic here.
Go to the templates folder, then to the theme you are using and find the css file open it up and look for the menu parts and there you can modify it. Some do use images for their menu backgrounds, and these will be in the img folder for the theme, but more then likely it will be in the css file.
Joeroberts wrote a great tutorial for themes, even though its not for tsse it still will be a great help. Best thing to do is open it all up on a localhost, get out your editor and open up the css file for that theme and then experiment with it till you get it just how you want it. Then (and this is important) hang it on a server to test it in ALL browsers. ie treats them way different then firefox or chrome, and once you get it just how you want then you can simply rename it to what ever you want and copy the entire theme folder over to your live site template folder, where if you do not want the users to use anything else then just delete all other theme folders, and set the default theme in the tracker settings. TSSE is pretty simple to retheme to anything you want.