How I can add div to menu?

When using wp_nav_menu you can pass arguments to it which help you style the output, look at:

$container Whether to wrap the ul, and what to wrap it with. Allowed tags are div and nav. Use false for no container e.g. container => false .
$container_class the class that is applied to the container.
$container_id The ID that is applied to the container.
$menu_class CSS class to use for the containing div element which forms the default menu, or the ul element when a custom menu is configured in the admin interface.
$before Output text before the of the link.
$after Output text after the of the link.
$link_before Output text before the link text.
$link_after Output text after the link text.
$items_wrap Whatever to wrap the items with an ul, and how to wrap them with.

So in you case you can use

array( 'link_before' => '<div class="your_class">' , 'link_after' => '</div>');

But if you ask me you can probably do what you want with the classes WordPress prints out anyway.