If you are new to Axure, there’s a new handy tutorial for the latest Axure 9 that will tell you how to create segmented control. This interface pattern is very useful mostly for mobile devices so if you’re working on mobile or tablet app prototype in Axure, you should check it out.
If you follow all steps in this tutorial, you’ll be able to enrich your prototype with something like this:

See full tutorial on UXdesign.cc website.
This Axure 9 tutorial is by Lucian Dinu, UX/UI designer from Bucharest, Romania.
Btw. Lucian has more interesting tutorials and articles for Axure on his website:
- How to create a switch in Axure RP9
- How to create a slider in Axure RP 9
- Understanding Axure RP 9 for UI/UX designers