Master page is not a wrapper like an iFrame is. It is a template for the page that loads. By this logic you cannot load the content "into" the content place holder without loading the whole page.
You can ensure that menu items remain selected in various ways on page_load or you can load different content in other ways.
Look into view state persistence to keep items selected in a control when the page changes:
Efficient Server-Side View State Persistence[
^].
Also, Update panels can be use to perform "partial" postbacks. it actually posts the whole page but only returns an ajax representation of the update panel which is then loaded into the update panel at the client side:
Ajax update panel- best practice 1[
^]. This is handy for forms that update on-the-fly but you shouldn't base a whole website on them.
I hope that helps. Please let me know if you need any further guidance on any particular implementation, but in most cases, posting a new question is better
Good luck ^_^
Andy