AddClass RemoveClass

What you can do is check the URL in which the user is and according to this activate the corresponding link.

The code would be something like this:

HTML

<div class="menu">
                <nav>
                    <a href="Inicio.php">Inicio</a>
                    <a href="Mision.php">Mision</a>
                    <a href="Vision.php">Vision</a>
                    <a href="Nosotros.php">Nosotros</a>
                    <a href="Contacto.php">Contacto</a>
                </nav>
              </div>

CSS

.activo {
    border-bottom: 10px solid white;
} 

jQuery

$(document).ready(function(){
    $('.menu nav a').click(function(){
        $('nav a').removeClass("activo");
        $(this).addClass("activo");
    });

    $(".menu nav a").each(function() {
        if($(location).attr('href').indexOf($(this).attr("href")) >= 0)
            $(this).addClass("activo");
    });
});

It's very simple you have to create a small script that modifies the class of the menu according to your url:

var pach = www.midominio.com/
var url = $(location).attr('href'); 
var href = url.replace(pach,''); // remplazamos por vacío
$('a[href="'+href+'"]').addClass('activo');