How to customize wp_nav_menu according to html?

Question

Well, I don’t know much in WP but I’m struggling to learn the most every day, it’s been a few days that I research and do tests and something goes wrong even including filters, could anyone guide me how to display the menu this way and my site?

            
        
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Perfil 
                        
                        
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            SAC            
                
        
            Imprensa            
                
    

If anyone needs any more information I am open to suggestions. Remarks, I would not like to use plugin for this.