This can be done by applying a different colored border-bottom to an area of text.

To create a red underline:

Some text here. <span style="border-bottom: 1px solid #ff0000;"> Underlined text here. </span> <u>Normal underlined text here.</u>

Produces this outcome :
Some text here. Underlined text here. Normal underlined text here.

As you may notice, the colorized version is a bit off from a normal underline, but that is about a close as it gets at this time.