It's a long time since I have done any classic asp so the syntax may be slightly off. The usual approach is to increment a counter and use the modulus operator to determine if you are on a row number that is an exact multiple of 4.
<%
Dim counter
counter = 0
While Not rsCollection.EOF
counter = counter + 1
if (counter mod 4 =0) Then
Response.Write "<li class='last'>Product Name</li>"
Else
Response.Write "<li>Product Name</li>"
End If
%>
Martin Smith
2010-08-23 14:53:02