To enable multimedia extension for selected object you have to select one of the option: You have to select Has Highlighted or Pushed frame check-box. In most cases you would like to select both - creating that 3-state button. The state selector on the white background (upper left part of the ME window) can tell you which state you currently editing. From the image at left you can see we are editing Pushed Frame.

To change which state (frame) you are editing just click on the appropriate item in the State-selector. The Eye icon will be highlighted (eye open) and the object will switch to the state.

Things to remember:
The frames can have different position - you may want to put the pushed frame of the button a few pixels down and left to simulate the pushing action. It means if you are editing in Highlighted or Pushed state and you move the object - you move it only in this frame - in the other frames the object will remain at the same position.
However this doesn't apply to the Normal frame. If you are editing the Normal frame of the object and you move the object - you will also move the Highlighted and Pushed frame as well.
The rule is when you change the Highlighted or Pushed frame always return to the Normal Frame.

For Multimedia Builder users: The 3-state object will be exported as a Bitmap button. Because its surrounding depends on the position against the background the position of the button will be locked.
(So you can't select it and drag it with mouse)

Solo Mode
Sometimes you don't really want to have a button but you want to have a separate object anyway. Maybe you just want to create a special image which will pop-up in your mm application by some script or action. (Like some warning or a window) You don't want to have these images active and you don't need any other states.
The solo mode is just for that. It disables the Highlighted and Pushed frame and you are working with the object like with any other normal objects.
However the Solo Mode checkbook is recognized during Multimedia Export and creating an separate object.
For Multimedia Builder (MMB) users: This will create a separate Bitmap object with an alpha transparency (for drop shadows etc...) which could be freely hidden or moved in your MMB application. Note: The CompactDraw and MMB handles the transparency a little different, in MMB the transparency looks a little 'more transparent'. This makes the drop shadows look less pronounced.

Keep With Previous
This will tell the Multimedia Export filter - Don not export this object as a separate object, instead stick it with other exported objects.
Imagine you design a button with all 3 frames and then you put a black text on it. If you leave the text with Normal frame only and you export the project, you will get one button which has on all three states a black text. Now if you make the text also multiframed (for example white on Highlighted and red on Pushed) normally will Multimedia Export export it as a two separate objects (in MMB you will get two buttons one on the top of other)
This is not what you want - you want to have only one object - a button with text which has different color on Highlighted and Pushed state. So you want to keep the text with the button - make a virtual group.
After you select this option - Keep with previous the MM export will not create a separate object for it and in MMB you will get only one button where each state has the appropriate text color.
It doesn't matter how many objects you put with this flag, nor the button must be exactly previous object in the layers.

Switch All Objects to
These are helper buttons - they switch all multi-frame objects to the appropriate state. For example you want to switch all objects to normal state. And if you have many Keep With Previous objects you can actually see the whole effects by switching the Normal/Highlighted/Pushed state.