Actually it is done in a simple manner via CSS.
Put following in the head of your page:
<STYLE TYPE="TEXT/CSS">
<!--
A.mylinks:link {color: red;}
A.mylinks:hover {color: #00ff00;}
A.mylinks:visited {color: #0000ff;}
A.mylinks:active {color: #00ff00;}
-->
</STYLE>
All you do is to add a class to every link you want to behave that way:
<a href="somepage.html" class="mylinks">Click here</a>
or if you want all links in the page to behave the same way you can take the class name out entirely, e.g:
A:link {color: red;}
A:hover {color: #00ff00;}
..etc
Lets say you want to apply different colors to another set of links (mylinks2) simply copy/paste above and change the name:
<STYLE TYPE="TEXT/CSS">
<!--
A.redlink:link {color: #000000}
A.redlink:hover {color: #ff0000;}
A.redlink:visited {color: #ff00ff;}
A.redlink:active {color: #ff0000;}
A.bluelink:link {color: #000000}
A.bluelink:hover {color: #0000ff;}
A.bluelink:visited {color: #ffff00;}
A.bluelink:active {color: #0000ff;}
-->
</STYLE>
<a href="somepage" class="redlink">Here is a link</a>
<a href="someother" class="bluelink">and another</a>