I believe you might be referring to an embedded link something like the following example:
How to post a link (URL)
No that is just a forum setting.
The one in the Internet Options is an Internet wide option if you create a link in a web page, you don't put any underline in the link but IE would underline it depending on the option.
However that can be overridden by the web page or site using either a css (Cascading Style Sheet) script or hard coded in a page that effects each page or the whole site depending how it is implemented and the Theme probably has an associated style sheet for the layout an effects, etc. and this is possibly where the link effect is set.
Here are just a couple of effects you can apply to a link, the text decoration, relates to the underline, so none disables that. The a:visited is the colour you want applied after you have visited that link. The a:hover changes the text colour, size and background colour of the link text when you hover over it, there is no way you would miss that.
<style type="text/css">
<!--
A { text-decoration:none }
a:visited { color: blue }
a:hover { color: yellow;
font-size: 12pt;
font-weight: bold;
text-decoration: bold;
background-color: black;
}
-->
</style>
This is the call for a style sheet in the forum home page (and an extract of the css code) so whatever is in that determines what happens, here is where it gets weird, it should underline links:
<link rel="stylesheet" type="text/css" href="http://forum.avast.com/Themes/ALWIL_default/style.css?rc2" />
[quote]
/*
a:link
{
color: #000000;
text-decoration: underline;
}
a:visited, a:hover
{
color: #323232;
text-decoration: underline;
}
*/[/quote]
Unfortunately it looks like because of the way the forum works, so users don't have to know html to construct a page, different rules are applied to make it easy to post. That would make it necessary to add the underline to the link in order for it to show.