Bulleted lists not displaying properly

I am using WP 3.5.2, and the website I am trying to create is http://zsoundz.net/

OK, I Paste into the Edit window for the Jazz Resources page from a text editor this:

Jazz Northern Colorado
Fort Collins CO Nightlife
Denver 365
Westword

I highlight the text and click on the bullet tool (“Visual” editor). Only the first item is bulleted. When I look at the code (“Text” editor), most of the <li>and </li> tags are missing. If I add the missing tags, the list displays properly. Why doesn’t the bullet tool work?

I then tried to apply bullets to the next three items:

Gift of Jazz
Jamey Aebersold Jazz
List of jazz genres

Same problem.

Here is the code:

<ul>
<li>Gift of Jazz
Jamey Aebersold Jazz
List of jazz genres</li>
</ul>

If I type the info into the edit window (instead of copy and paste from a text editor – Notepadd++ v. 6.4.1), then highlight the text and apply bullets, they work as expected.

Why does the copy and paste not work?

I have tried searching the WP forums and tried a search engine search, but did not find any thing that I can determine is relevant. I saw some references to a style.css file, but after connecting to the site via ftp and searching, no such file was found.

Can anyone help?