Usually, you do it in a style tag, like this:
Code:
<style>
a:link { text-decoration: none; color: green; }
a:hover { text-decoration: underline; color: white; }
a:visited { text-decoration: none; color: blue; }
a:active { text-decoration: none; color: black; }
</style>
a:link is for a standard link, that hasn't been clicked on. When you mouseover it, it goes to the a:hover state which will make it underlined, and the color will change to white. Now, when you click on it, you'll see it flash black, and then when you go back to the page and refresh it, it'll appear blue. Experiment with it a little bit and you'll get some cool effects.
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