Thanks for the help, this is just what I wanted. I had to make a slight change to the code (a couple of <span>'s added by guesswork) so could you please check my changes for mistakes.
Code:
<?php if ($_SESSION['cart']->count_contents() != 0) { ?>
<li><a href="<?php echo zen_href_link(FILENAME_SHOPPING_CART, '', 'NONSSL'); ?>"><span><?php echo HEADER_TITLE_CART_CONTENTS; ?></span></a></li>
<li><a href="<?php echo zen_href_link(FILENAME_CHECKOUT_SHIPPING, '', 'SSL'); ?>"><span class="last"><?php echo HEADER_TITLE_CHECKOUT; ?></span></a></li>
<?php } else if ($_SESSION['cart']->count_contents() == 0) { ?>
<li><a href="<?php echo zen_href_link(FILENAME_SHOPPING_CART, '', 'NONSSL'); ?>"><span><?php echo HEADER_TITLE_CART_CONTENTS; ?></span></a></li>
<li><a href="<?php echo zen_href_link(FILENAME_SHOPPING_CART, '', 'NONSSL'); ?>"><span class="last"><?php echo HEADER_TITLE_CHECKOUT; ?></span></a></li>
<?php }?>