Inserting a div into wp_nav_menu

[admin]

I'm trying to add a div to my navigation menu in wordpress. wp_nav_menu loads all menu items but I have no idea how to add a div into the structure. My goal is to have a submenu pop up on menu-item hover, and to have an arrow image on top of the submenu block to make it look like a square text-balloon. I know how to get it where I want it and everything, but not how to get the div in there.

Right now, looks something like this

<ul class="menu">
 <li>
  <a>
   <ul class="submenu">
    <li>
     <a>

And I want it to look like this

<ul class="menu">
 <li>
  <a>
   <ul class="submenu">
    <div class="pointer">
     <li>
      <a>

How can I achieve this?