With Default DNN You can only do that is you use the NAV skin object. Look at the example minimal extropy.

Then you need to switch to Unordered List rendering, which can cueerntly only be done in ASCX skins like this:

<dnn:NAV runat="server" id="dnnNAV"  ProviderName="DNNMenuNavigationProvider" .........................>
    <CustomAttributes>       
          <dnn:CustomAttribute Name="RenderMode" Value="UnorderedList"/>
    </CustomAttributes>
 </dnn:NAV>

Or if you can wait a bit (weeks), there should be other menu possiblities available (spin offs from the skinning contest)