Try this:
<ul>
<li class="current"><a href="#">1</a></li>
<li><a href="#">2</a></li>
<li><a href="#">3</a></li>
</ul>
<script type="text/javascript">
$(function () {
$('li').click(function () {
$("li.current").removeClass("current");
$(this).addClass("current");
return false;
});
});
</script>
That will remove the "current" class from the old item, and add it to the clicked item. However, this may not be what you are after, as it appears you may be trying to build a navigation menu.
Since I'm not sure what you are trying to do, I won't go into too much detail, but I will tell you that this is probably not what you're after. Consider that this the technique I am showing does not actually navigate anywhere (the "return false" prevents the navigation from occurring). Also note that the navigation shown in your example is not a "postback"... you are just navigating to the page fresh (at a lower level, the difference is a "GET" vs a "POST" operation, but that's probably more technical than you need to know).
If you want to know a better approach, maybe explain what you are really trying to do and perhaps we can give you some ideas for how to accomplish that.