Here's the code I'm using for my menu bar:

<ul>
<li <?php if(is_home()){echo 'class="current_page_item"';}?>><a href="<?php bloginfo('siteurl'); ?>" class="stuff" title="Home">Home</a></li>
<li><a href="<?php echo get_settings('home'); ?>" class="stuff">Articles</a>
<ul><?php wp_list_categories('sort_column=name&title_li=&dep th=2'); ?></ul>
</li>
<?php wp_list_pages('title_li=&depth=2');?>
</ul>

As you can see, it has one item for the home page, one item that calls up all categories present on the site, and one that calls up all pages on the site. Let's say I wanted to create another <li> that included a link to a specific category. I'd probably type in <?php and then something. What would that be?

You can create a link by hard-coding the category right in:
<li><a href="http://yoursite.com/category/tutorials/">Tutorials</a></li>

or you can do:
<li><a href="<?php echo bloginfo('url'); ?>/category/blog">Blog</a></li>

If you do not have permalinks set up you'll have to use the id:
<li><a href="<?php echo bloginfo('url'); ?>/?cat=3">Blog</a></li>

Perfect. Thanks!