Validating an unordered list navigation

Hi.
My website isn't validating because of this error (repeated a few times on every page).
Can anyone help me fix it please.
Thank you very much
      <li><a href="../legislation/index.html">Legislation</a></li>

The mentioned element is not allowed to appear in the context in which       you've placed it; the other mentioned elements are the only ones that       are both allowed there and can contain the element mentioned.       This might mean that you need a containing element, or possibly that       you've forgotten to close a previous element.
One possible cause for this message is that you have attempted to put a       block-level element (such as "<p>" or "<table>") inside an       inline element (such as "<a>", "<span>", or "<font>").

im thinking it might be because i have an unordered list with a nested unordered list inside it.
would something like this cause validation problems?
<ul>
<li><a href="www.widget.com">LIST ITEM</a></li>
<li><a href="www.widget.com">LIST ITEM</a></li>
<ul>
<li><a href="www.widget.com">LIST ITEM</a></li>
<li><a href="www.widget.com">LIST ITEM</a></li>
<li><a href="www.widget.com">LIST ITEM</a></li>
<li><a href="www.widget.com">LIST ITEM</a></li>
<li><a href="www.widget.com">LIST ITEM</a></li>
</ul>
<li><a href="www.widget.com">LIST ITEM</a></li>
<li><a href="www.widget.com">LIST ITEM</a></li>
<li><a href="www.widget.com">LIST ITEM</a></li>
</ul>
Thank you in advance,

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