Depends on how you're outputting your link HTML.
If you're using the URL Helper module, then you can call the
anchor() function to create your links, and pass it an array of attributes as the third parameter, ie:
echo anchor('url/path', 'Click here', array('class' => 'active'));
If you're just outputting the HTML manually in your templates/views, obviously you can just create the class attribute yourself in the HTML.