How can I make the button that will be the component light up when clicked, but the others will not light up? And similarly with others.
example photo:
Are you designer or what mate? 
Im designer.
I’m trying to make an interactive panel on the left where I can select different tabs, the one clicked lights up and the others turn off.
Do it straightforward way. Create as many copies of your screen you need. On each highlight menu item you need, connect menu items in prototype mode.
Or go advanced. Make a component of your navigation panel. Connecte each menu item with screens you like. Swap navigation with your fresh interactive menu bar.
But when creating different copies of my screen, will I be able to use the “Change to” option?
I don’t think you need to though. When copying the screen you just make it the way you see it under the nav item and connect two dots in prototyping mode