Preview:
<?php
    $pages = array(
        'PAGE1' => 'FIRST PAGE',
        'PAGE2' => 'SECOND PAGE');
?>

<ul class="nav">
  <?php foreach ($pages as $pageId => $pageTitle): ?>
  <li <?=(($_GET['pg'] == $pageId) ? 'class="active"' : '')?>><a href="?pg=<?=$pageId?>"><?=$pageTitle?></a></li>
  <?php endforeach; ?>
</ul>
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