How to make the HTML link activated by clicking on the <li>?

I have the following markup,

<ul id="menu">              
    <li><a href="#">Something1</a></li>
    <li><a href="#">Something2</a></li>
    <li><a href="#">Something3</a></li>
    <li><a href="#">Something4</a></li>
</ul>

The <li> is a bit big, with a small image on its left, I have to actually click on the <a> to activate the link. How can I make a click on the <li> activate the link?

Edit1:

ul#menu li
{
    display:block;
    list-style: none;
    background: #e8eef4 url(images/arrow.png) 2% 50% no-repeat;
    border: 1px solid #b2b2b2;
    padding: 0;
    margin-top: 5px;
}

ul#menu li a
{

    font-weight: bold;
    text-decoration: none;
    line-height: 2.8em;
    padding-right:.5em;
    color: #696969;
}

#menu li { padding: 0px; }
#menu li a { margin: 0px; display: block; width: 100%; height: 100%; }

It may need some tweaking for IE6, but that's about how you do it.

As Marineio said, you could use the onclick attribute of the <li> to change location.href, through javascript:

<li onclick="location.href='http://example';"> ... </li>

Alternatively, you could remove any margins or padding in the <li>, and add a large padding to the left side of the <a> to avoid text going over the bullet.

Just to throw this option out there:

<ul id="menu">
    <a href="#"><li>Something1</li></a>
    <a href="#"><li>Something2</li></a>
    <a href="#"><li>Something3</li></a>
    <a href="#"><li>Something4</li></a>
</ul>

This is the style I use in my menus, it makes the list item itself a hyperlink (similar to how one would make an image a link).
For styling, I usually apply something like this:

nav ul a {
    color: inherit;
    text-decoration: none;
}

I can then apply whatever styling to the <li> that I wish.

Note: Validators will complain about this method, but if you're like me and do not base your life around them, this should work just fine.

Just add wrap the link text in a 'p' tag or something similar and add margin and padding to that element, this way it wont affect the settings that MiffTheFox gave you, i.e.

<li> <a href="#"> <p>Link Text </p> </a> </li>