editing html tags

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I have a verticle navigation on my site, and I the words are links. I want to make the entire
<li></li>
a link so that the whole box that the text of the navigation sits in is a link and not just the text. Has anyone achieved or tried this before? I know by default the code <?php wp_nav_menu(); ?> call back the links wrapped in
<li></li>
tags but how I can add the <a href="">text</a> is what I am trying to do.