Tell the user where they are.
Whatever the hierarchy of pages in your site, a user must know where they are, and where they can go.
Simple highlighting, or other indications (such as an icon or arrow) on the menu and sub-menu items will suffice, or perhaps a breadcrumb trail for sites with a large amount of pages.
If a user is going through the motions of a set process, such as a checkout, it must be clear to the user how they move forward, and in some cases how far they are through the process.
