I made a small function whose work to do add class in <li> when we clicks on <li>, but I want to remove that if it is already had with <li>.
<!DOCTYPE html PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN" "http://www.w3.org/TR/html4/loose.dtd">
<html>
  <head>
    <meta http-equiv="content-type" content="text/html; charset=utf-8">
    <meta name="generator" content="CoffeeCup HTML Editor (www.coffeecup.com)">
    <meta name="created" content="Tue, 22 May 2012 12:39:23 GMT">
    <meta name="description" content="">
    <meta name="keywords" content="">
    <title></title>
    <style type="text/css">
    <!--
    body {
      color:#000000;
      background-color:#FFFFFF;
    }
    a  { color:#0000FF; }
    a:visited { color:#800080; }
    a:hover { color:#008000; }
    a:active { color:#FF0000; }
    -->
    </style>
    <script type="text/javascript" src="http://code.jquery.com/jquery-1.7.2.min.js"></script>
    <script type="text/javascript">
    $(function(){
    $('.main').find('li').each(function(){
    $(this).live('click', function (){
    $(this).addClass('active')
    })
    })
    })
    </script>
  </head>
  <body>
  <ul class="main">
  <li>first</li>
  <li>second</li>
    <li>third</li>
      <li>fourth</li>  
  </ul>
  </body>
</html>