Here is an example of my tags list. Be sure you don't put in any extraneous punctuation (it was hard to tell in your example, because of the way it appeared, but it looked as though you had extra quotation marks in there).
It can be easier to make your tags list in the visual editor in a draft post, then go to the html editor & cut & paste the html from there into the widget.
Anyway, here's a snippet from my tags list. You would substitute your url and your tag name, etc., for mine:
<div align="center" style="height:164px;overflow:auto;padding:3px;"><a href="http://mmadfan.com/tag/admm-fanfic/">ADMM fanfic</a>
<a href="http://mmadfan.com/tag/alastor-moody-fanfic/">Alastor Moody fanfic</a>
<a href="http://mmadfan.com/tag/alex-kingston/">Alex Kingston</a>
<a href="http://mmadfan.com/tag/angus-og/">Angus Óg</a></div>
<a href="http://mmadfan.com/tag/au-hp-fanfic/">AU HP fanfic</a>
A bunch more tags here . . .
<a href="http://mmadfan.com/tag/wicked-tinkers/">Wicked Tinkers</a>
Obviously, the list is much longer than this, and I cut out the ones in the middle. But if you do exactly this, but substitute your own URLs and tag names, it should work fine.
If you aren't used to writing html, I recommend doing this in the visual editor first -- but be sure to cut & paste from the html editor.
Hope this helps! (BTW, if you don't have a "test blog," that's a good way to test out things like widgets w/o having them go live on your real site -- just start a second blog called something like zireaestestblog.wordpress.com, and you can even import your blog posts from your main blog in order to see what they look like in the test blog. It's a good way to try out new themes, too.)