Step 1:

<ul>
	<li>a menu item</li>
</ul>

Step 2:

<ul>
	<li><a href="/">Home</a></li>
	<li><a href="/category/music/">Music</a></li>
	<li><a href="/category/books/">Books</a></li>
	<li><a href="/category/games/">Games</a></li>
	<li><a href="/about/">About</a></li>
</ul>

Step 3:

li.activemenu { background: yellow; }

Step 4:

<li <?php if (is_front_page()) echo 'class="activemenu"'; ?>><a href="/">Home</a></li>

Step 5:

<ul>
	<li <?php if (is_front_page()) echo 'class="activemenu"'; ?>><a href="/">Home</a></li>
	<li <?php if (is_category('music')) echo 'class="activemenu"'; ?>><a href="/category/music/">Music</a></li>
	<li <?php if (is_category('books')) echo 'class="activemenu"'; ?>><a href="/category/books/">Books</a></li>
	<li <?php if (is_category('games')) echo 'class="activemenu"'; ?>><a href="/category/games/">Games</a></li>
	<li <?php if (is_page('about')) echo 'class="activemenu"'; ?>><a href="/about/">About</a></li>
</ul>