categories as navigation

Hi,

I’m very new to wordpress and I’m trying to get my main navigational menu to link to my categories. Can anyone help as I’ve tried loads and nothing works!

<ul id="nav">
                <li class="pensions"><a href="#">pensions</a></li>
                <li class="money"><a href="#">everyday money</a></li>
                <li class="mortgages"><a href="#">mortgages</a></li>
                <li class="savings"><a href="#">investments</a></li>
                <li class="protections"><a href="#">protections</a></li>
            </ul>