I made the background black and don't know how to change underline color from black. So I need to know how to change the color of underlines.

You can change the link foreground colour from "game", on the Display tab. This will change the colour of both text and underline though - there's no way of changing the line colour separately (at the moment anyway, happy to accept a pull request if somebody wants to add this).

I did, link is red, but underline is still black. The underline for links is red, but not the <u></u>.