As far as I can see, this is a topic a lot of people is struggling with. However - I have been digging the forum without a working solution.
This is it:
I like the selected menu-item to stay Current when a child-page is viewed.
There is a lot of solutions due to hardcoded menus, but I rather not step into that.
Look at menu-item 2: http://www.clearmindweb.dk/eksempel-side/ and the subpage: http://www.clearmindweb.dk/eksempel-side/side-under-eksempelside/
When thats done - ofcourse the "blog" menu-item has to be highlighted when a single post or a category is viewed.