You already ended the string literal, back here:
"<li><a href='#bookmark"
// ^ here
Now you’re concatenating an expression to the string before it, and concatenating the result of that concatenation with another string literal, and concatenation is done with the +
operator.
If we replace the literals with placeholders representing expressions (which they are), and add parentheses, it might become clearer:
oList.append($(A + (cAnchorCount++) + B + ($(this).text()) + C));
Note that the HTML here isn’t special in any way; the strings you have here are strings like any other. They just happen to represent HTML. (I’d recommend learning the W3C DOM before jQuery, by the way; it makes this separation clearer.)