Thank you Clyde,
I had to put a </ul> in front of your code to set it right.

</ul>
<li><?php echo '<a href="' . zen_href_link(FILENAME_LINKS) . '">' . BOX_HEADING_LINK_CATEGORIES . '</a>'; ?></li>

Bye the way, will google site map pick this new data up or will google when they crawl through my index page find the external links???