I don't see any class in your html, but I add some for a example. Try this:
html
<div class="menu">
<a href="link1.html">1</a>
<a href="link2.html">2</a>
<a href="link3.html">3</a>
</div>
jQuery
$('.menu a').click(function(){ //check thru all <a> elements inside .menu
$('.menu ').removeClass("active"); // remove all active class
$(this).addClass("active"); //put active in parent of <a> which was clicked
});