How do I semantically group a header with a UL in HTML?

It should not be set in the first li because this would assume a sibling relationship to the preceding li elements whereas the header is more important in the hierarchy. Imagine screen-readers etc

<h2>Databases:</h2>
<ul id="databases">        
    <li>Microsoft SQL Server - 10+ years</li>
    <li>Sybase SQL Server - 5 years</li>
    <li>Oracle - 5 years</li>
</ul>

Swap out the h2 for a h(n) depending on the hierarchy in relation to the other headers on the page. To target the header in css just give it a class if there are other headers that will share the same style e.g.

<h2 class="subHeader">Languages:</h2>
<ul id="languages">        
    <li>English</li>
    <li>Chinese</li>
    <li>French</li>
</ul>

Otherwise give it an id

Just for reference, HTML 3.0 had <lh>:

<ul>
    <lh>This is a list header!
    <li>Item A
    <li>Item B
    <li>Item C
</ul>