JQuery :: Menu Animation - Fade In And Out On Hover

I have been using jquery for about an hour. Here is my first menu animation, very simple; I am only playing with fade in and out on hover.
$(".nav li a").click(function(){
$(".nav li a").removeClass("active");
$(this).parent().addClass("active");
$('a').click().html();

Is this how I get a value of href? This does seem to work. Without this my link does not work.
return false;
});
$(".nav li a").hover(function(){
$(this).fadeTo('slow', 0.5, function() { });
//console.log($(this).text());
}, function(){
$(this).fadeTo('slow', 1, function() { });
//console.log($(this).text());
})
So I guess this is very simple. On hover my <a> within .nav li fades out back and forth. How would I 'hold' this across my entire website. Do I simply include JQuery in every page (if my page does not use any CMS like Wordpress). Is there a way to hold this menu across my entire site?