I have the follwoing code snippet: 

<div id="menu">
   <ul>
      <li class="active"><a href="<%=Utils.AbsoluteWebRoot %>" accesskey="1" title="">Home</a></li>
      <li><a href="<%=Utils.AbsoluteWebRoot %>archive.aspx" accesskey="2" title="">Archive</a></li>
      <li><a href="<%=Utils.AbsoluteWebRoot %>aboutus.aspx" accesskey="4" title="">About Us</a></li>
      <li><a href="<%=Utils.AbsoluteWebRoot %>contact.aspx" accesskey="5" title="">Contact</a></li>
      <li><a href="<%=Utils.FeedUrl %>" accesskey="3" title=""><img src="<%=Utils.AbsoluteWebRoot %>pics/rssButton.gif" alt="Feed" />Subscribe</a></li>
   </ul>
</div>
 
On my 3rd line of code, i have a class of active.  I want to code all of my links that if they are licked, they are active.  The active turns on a background around them to show that it is the current active tab. 
 
Can anyone please help me with this??????

 Give an IDs to the li tags and make them as server controls in the following way

<li id="liHome" runat="server"><a href="<%=Utils.AbsoluteWebRoot %>" accesskey="1" title="">Home</a></li>

Now add the class attribute dynamically to li tag of your interest in the code behind file in the following way

liHome.Attributes.Add("class","Active");

Sorry, but I'm still a little confused on what I'm suppost to do.

<div id="menu">

   <ul>

      <li id="liHome" runat="server"><a href="<%=Utils.AbsoluteWebRoot %>" accesskey="1" title="">Home</a></li>

      <li id="liArchive" runat="server"><a href="<%=Utils.AbsoluteWebRoot %>archive.aspx" accesskey="2" title="">Archive</a></li>

      <li id="liAboutUs" runat="server"><a href="<%=Utils.AbsoluteWebRoot %>aboutus.aspx" accesskey="4" title="">About Us</a></li>

      <li id="liContact" runat="server"><a href="<%=Utils.AbsoluteWebRoot %>contact.aspx" accesskey="5" title="">Contact</a></li>

      <li id="liSubscribe" runat="server"><a href="<%=Utils.FeedUrl %>" accesskey="3" title=""><img src="<%=Utils.AbsoluteWebRoot %>pics/rssButton.gif" alt="Feed" />Subscribe</a></li>

   </ul>

</div>

Now on the respective .aspx.cs files you add the class attribute dynamically to the related li.

For Eg. On the home page Page_Load it could be

liHome.Attributes.Add("class","Active");

On the archive.aspx Page_Load it could be

liArchive.Attributes.Add("class","Active")

and so on for the other pages too.

Does it matter that I'm using a MasterPage??

If you are uisng it on the master page,  then in the maser page.cs file in the Page_Load you can have something like the following to detect the called page and you can add the attribute as per the page. 

if (Request.Url.ToString().ToLower().IndexOf("archive.aspx") > 0)
{
lstArchive.Attributes.Add("class", "Active");
}

I don't think that, there you should change in your code. Keep your code as it is.

You want to use a class "active" when it is active. Just define a css named as " #menu li a:active" and write the same css which you have written in "active" class. it'll be work fine.