Here are a couple of ways to achieve that effect Tho I am not sure how wise UX/UI speaking this is.users recognize a link because the text AND underline are the same color; you are threading dangerously. Grumpy cat says ‘no.’
<html>
<head>
<title></title>
<meta http-equiv="Content-Type" content="text/html; charset=utf-8">
<meta name="viewport" content="width=device-width">
<style type="text/css">
.un a, un {
position: relative;
text-decoration: none;
}
.un a:after {
content:'';
border-bottom:1px solid red;
position: absolute;
bottom:2px;
left:0;
right:0;
}
.un2 a{
text-decoration: none;
background: -webkit-linear-gradient(bottom, red, red 1px, transparent 1px) 0 0 ; /* you can use the bg position part of the shortcut to do fine px adjustment of the position of the undeline*/
background: -moz-linear-gradient(bottom, red, red 1px, transparent 1px) 0 0 ;
background: linear-gradient(bottom, red, red 1px, transparent 1px) 0 0;
background-size: 100% 1em;
-moz-background-size: 100% 1em;
line-height: 1em; /* lineheight should match bg vertical size*/
-moz-background-origin: content;/* for firefox 3.6*/
background-origin: content-box;
}
</style>
</head>
<body>
<div class="un"><a href="#"> This link is underlined in a dif color </a></div>
<div class="un2"><a href="#"> This link is underlined in a dif color Lorem ipsum dolor sit amet, consectetur adipisicing elit, sed do eiusmod tempor incididunt ut labore et dolore magna aliqua. Ut enim ad minim veniam, quis nostrud exercitation ullamco laboris nisi ut aliquip ex ea commodo consequat. Duis aute irure dolor in reprehenderit in voluptate velit esse cillum dolore eu fugiat nulla pariatur. Excepteur sint occaecat cupidatat non proident, sunt in culpa qui officia deserunt mollit anim id est laborum.</a></div>
</body>
</html>
.un uses a pseudo element, which means this method has broader support, but wont handle wrap around lines, or multiple lines of content. 
.un2 handles wrap arounds and multiple lines fine, but since uses generated gradients, so browser support is more limited and of course you gotta do all sorts of vendor prefixes ( I included the spec, webkit, and moz in this example)
As this is applied to links and links are a pivotal part of a users web experience, it’s important to note that .un makes for an easier fall back strategy. that is, the pseudo element is above the link, so you can use it to cover up the original text-decoration; when the pseudo element is not generated then you still have the underlined link.
in .un2 you may need to rely on hacks or conditional comments to set the text decoration back to underline for browsers that don’t support gradients
hope that helps