Click here for a solution in jsFiddle
What you need is you need to get window.location.pathname as mentioned and then create regexp from it and test it against navigation hrefs.
$(function(){
var url = window.location.pathname,
urlRegExp = new RegExp(url.replace(/\/$/,'') + "$"); // create regexp to match current url pathname and remove trailing slash if present as it could collide with the link in navigation in case trailing slash wasn't present there
// now grab every link from the navigation
$('.menu a').each(function(){
// and test its normalized href against the url pathname regexp
if(urlRegExp.test(this.href.replace(/\/$/,''))){
$(this).addClass('active');
}
});
});