List items can contain more than just text. They can also contain images or links.

Give it a go: add a link inside the list item.

<html>
<body>
Useful Links
  <ul>
   <li><a href="https://weather.com">Weather</a></li>
   </ul>
  </body>
</html>]]>

Make sure to assemble <a href="https://weather.com">Weather</a>