As well as supporting shapes and their properties, the Drawing Toolbar also has a “Highlight” option. This is started by pressing the “Highlight ” button (pencil with a yellow line) on the Drawing Toolbar:
The Drawing Toolbar
After pressing this button, click on the map to draw a highlight line. The highlight line can be drawn by dragging the mouse (i.e. like a “scribble” drawing) or by single clicking each control point (i.e. like freeform drawing). The highlight line is a freeform open shape (polyline) drawn in bright yellow to resemble a fluorescent highlight marker. The line also has its size (length) displayed by default. Here is an example:

Highlighted roads in MapPoint
Because the highlight line is a conventional freeform line, it is possible to edit the line and to change its color.
It is also possible to highlight an individual place (e.g. city) by selecting the place with the left mouse button, then right-clicking to display a popup menu.

Is it possible to select an entire state or country and then highlight it all at once? I’m trying to make the different states different colors.
The highlight is just a polyline that can be used to draw over the map in a way that resembles a fluorescent yellow highlight marker. If you want to draw US states in different colors, then try experimenting with the “Shaded Area Map” option in the Data Import Wizard instead.