Again with nothing selected on your page look at the Page inspector window and click on the tab that looks like a paintbrush.
At the bottom of the inspector you will see a disclosure triangle that when clicked will open up the link settings.
To the right of the colour selectors for the various states you will see an underlined ‘U’
One click on the ‘U’ will turn underlining off but remember to do it for all the states that you want to affect.
It is often not easy to see what state the Underline button is at (should be light grey in colour) and it is worth previewing the page to check you have it right.
There are a few other ways to achieve this - one involves the use of the ‘Text Link Style’ action which can be applied to an HTML container if you only want to affect certain links on your page.