Yey! more info!
Do you use the mouse to press the button? Or the keyboard?
If you use the mouse, you need a mouse listener and in the onClick event check the coordinates and see if they are within the button.
If you use the keyboard, the approach is different, you could do some kind of variable that holds which button is "active" and the arrows will cycle between each of them, then, in the keyboard listener, check if the Enter key is pressed and activate the button that is active.
Did this help a bit? We can move forward now we have more info
By the way, check at my game:
Although it uses the mouse (that isn't drawn in the screenshot >_<), is this what you aim to do?