What about adding and ID to the current actively page's li item then just use something like
Code:
<ul id="sidemenu">
<li id="activePage"><a href="#">Item1</a></li>
<li><a href="#">Item2</a></li>
<li><a href="#">Item3</a></li>
</ul>
Code:
#sidemenu #activePage a {
text-decoration: underline;
}