This is such a pity D7 does not have by default active links sets in the menu system. I mean everyone likes to have a clue where he is in the site by the active state of the menu.
I wonder why there is no such default feature in Drupal7?
Now I tried to do this in jQuery like this (see below) but it only works for predictable URL like static pages (it doesn't work for menu links created out of taxonomy terms). If someone can help me make it work for all the links in the menu I would appreciate.