How to add hyperlink to

I have an ASPX page that contains a list <ul> <li> </li> </ul>
What i would like to do is add a hyperlink within the  <li> but dynamically (as in code). I have some code that creates the hyperlink:
Dim hl as New Hyperlink hl. text = "Some test" h;.NavigateURL = "Some URL" Page.Controls.Add( hl)
This adds the hyperlink to the page but i cant find a way to add it to the <li>?
Can anyone advise?
Thanks
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