I assume it's a HTML page
If so are you making a list? li is the HTML tag for that so in theory li on it's own should make a bulleted link like this in the design view:
In fact just tested it and it works fine for me (CS5) so not sure what causing this - maybe some strange setting but you mentioned it renders as Link 1(#) are you viewing it in a browser because that should give you a list without the bullets.
You could add the following tags see if these change anything (at the beginning and end of the code):
<ul> </ul> this should give you a bulleted list when viewed in a browser
<ol> </ol> this should give you a numbered list when viewed in a browser
If you not making a list just a link remove the li tags (you can still make what appears to be a list this way)