I found VirtualPathUtility.ToAbsolute to work very well for my purpose.
Worked perfectly:
protected void build_Menu()
{
StringBuilder sb = new StringBuilder();
sb.Append("- Home
"));
sb.Append("- Cars
"));
sb.Append("- Airplanes
"));
sb.Append("- Motorcycles
"));
sb.Append("- Reports
"));
sb.Append("- Manuals
"));
sb.Append("- Administration
"));
MENUfromCodeBehind.Text = sb.ToString();
}