$query = "SELECT  artist_name FROM artist ORDER BY artist_name";
$result = mysql_query($query) or die(mysql_error());
$array = mysql_fetch_assoc($result);
print "<ul>";
while ($row = $array) {
   print "<li><a href=\"artist.php?artistid=$row[artist_id]\">$row[artist_name]</a></li>";
}
print "</ul>";