This policy setting specifies how you want links on webpages to be underlined. If you enable this policy setting a user cannot choose when to underline links. You must specify when to underline links: • Always • Never • Hover (when the mouse pointer pauses on a link)If you disable or do not configure this policy setting the user can choose when to underline links.
HKEY_CURRENT_USER -> Software -> Policies -> Microsoft -> Internet Explorer -> Main # Anchor Underline
Windows Components -> Internet Explorer -> Internet Settings -> Advanced settings -> Browsing