You probably have something like this in HTML:

<div class="targetLinkList">
   <a href="1">bla 1</a><br />
   <a href="2">bla 1</a><br />
   <a href="3">bla 1</a><br />
</div>

Put this in css, just for testing (to see if class is set properly):
a.clicked {background-color:red}

Finally, in write this in your jQuery js:

$(".targetLinkList a").click(function(){           //
omit .targetLinkList only if you want this to apply to all links on
the page
        $("a.clicked").removeClass("clicked");  // remove previous clicked
class
        $(this).addClass("clicked");                   // set current clicked
class
        return false;                                           // prevent
browser form following link when clicked
});

If you omit last line (return false;) you won't be around long enough
to see the change because browser will follow clicked link...

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