For example. You hame some pages:
And you menu has a next form:
<ul>
<li class="index">index</li>
<li class="faq">faq</li>
<li class="forum">forum</li>
</ul>
Now you check the url of your page.
var index = window.location.pathname.split('/')[1];
$('ul.li').removeClass('active');
$('li.' + index).addClass('active');
Profit!