Quick and dirty : buttons for XNA with mouse over and mouse click.
3 rectangles, 3 textures, mouse inputs…
The source code : XNA_demo_13 .
The video to illustrate.
Imports Microsoft.Xna.Framework
Imports Microsoft.Xna.Framework.Graphics
Imports Microsoft.Xna.Framework.Audio
Imports Microsoft.Xna.Framework.Content
Imports Microsoft.Xna.Framework.Media
Imports Microsoft.Xna.Framework.Input
Public Class Game
    Inherits Microsoft.Xna.Framework.Game
    Dim graphics As GraphicsDeviceManager
    Dim SpriteBatch As SpriteBatch
    Private easy As Texture2D
    Private medium As Texture2D
    Private hard As Texture2D
    Dim color_a As Color
    Dim color_b As Color
    Dim color_c As Color
    Dim rec_a As Rectangle
    Dim rec_b As Rectangle
    Dim rec_c As Rectangle
    Public Sub New()
        graphics = New GraphicsDeviceManager(Me)
        Window.Title = "Test"
        Me.IsMouseVisible = True
    End Sub
    Protected Overrides Sub Initialize()
        MyBase.Initialize()
    End Sub
    Protected Overrides Sub LoadContent()
        MyBase.LoadContent()
        SpriteBatch = New SpriteBatch(GraphicsDevice)
        easy = Content.Load(Of Texture2D)("easy")
        medium = Content.Load(Of Texture2D)("medium")
        hard = Content.Load(Of Texture2D)("hard")
        rec_a = New Rectangle(40, 40, easy.Width, easy.Height)
        rec_b = New Rectangle(40, 140, medium.Width, medium.Height)
        rec_c = New Rectangle(40, 240, hard.Width, hard.Height)
    End Sub
    Protected Overrides Sub UnloadContent()
        MyBase.UnloadContent()
    End Sub
    Private Sub update_mouse()
        Dim mouse_state As MouseState = Mouse.GetState()
        Dim x As Integer = mouse_state.X
        Dim y As Integer = mouse_state.Y
        If rec_a.Contains(x, y) Then color_a = Color.Red Else color_a = Color.White
        If rec_b.Contains(x, y) Then color_b = Color.Red Else color_b = Color.White
        If rec_c.Contains(x, y) Then color_c = Color.Red Else color_c = Color.White
        If rec_a.Contains(x, y) And mouse_state.LeftButton = ButtonState.Pressed Then color_a = Color.Yellow
        If rec_b.Contains(x, y) And mouse_state.LeftButton = ButtonState.Pressed Then color_b = Color.Yellow
        If rec_c.Contains(x, y) And mouse_state.LeftButton = ButtonState.Pressed Then color_c = Color.Yellow
    End Sub
    Protected Overrides Sub Update(ByVal gameTime As Microsoft.Xna.Framework.GameTime)
        update_mouse()
        MyBase.Update(gameTime)
    End Sub
    Protected Overrides Sub Draw(ByVal gameTime As Microsoft.Xna.Framework.GameTime)
        GraphicsDevice.Clear(Color.CornflowerBlue)
        SpriteBatch.Begin(SpriteSortMode.BackToFront, BlendState.AlphaBlend)
        SpriteBatch.Draw(easy, rec_a, color_a)
        SpriteBatch.Draw(medium, rec_b, color_b)
        SpriteBatch.Draw(hard, rec_c, color_c)
        SpriteBatch.End()
        MyBase.Draw(gameTime)
    End Sub
End Class