How to make the HTML link activated by clicking on the <li>?

As Marineio said, you could use the onclick attribute of the <li> to change location.href, through javascript:

<li onclick="location.href='http://example';"> ... </li>

Alternatively, you could remove any margins or padding in the <li>, and add a large padding to the left side of the <a> to avoid text going over the bullet.

#menu li { padding: 0px; }
#menu li a { margin: 0px; display: block; width: 100%; height: 100%; }

It may need some tweaking for IE6, but that's about how you do it.