For help in theming install the Theme developer module. http://drupal.org/project/devel_themer
For Drupal 6, this module was part of the Devel project. For Drupal 7, it is its own project, but relies on the Devel module as a dependency.
Click on any element to see information about the Drupal theme function or template that made it. Page 400 of Using Drupal, by O'REILLY