Assign class to link element when other link is clicked using jquery

How do I assign class="active" to a link element when another link is clicked?

i.e I have:

<a href="hello.php"></a>

<a href="world.php"></a>

But when the second link is clicked, I want to have:

<div id="bing">
   <a href="hello.php" class="active"></a>
</div>

<a href="world.php"></a>

Basically I was thinking something like:

var foo = $(this).attr("href");
if ($(this).attr("href") == "hello.php")
   //insert code to assign that link the class="active"