To catch headers, footers and other areas of a document you will need to loop through the storyranges. It is more complicated than the code below but this might work:
Code:
Sub Macro1()
Dim oRng As Range
For Each oRng In ActiveDocument.StoryRanges
With oRng.Find
.Font.Underline = wdUnderlineSingle
Do While .Execute
If Not oRng.Font.UnderlineColor = wdColorAutomatic Then
oRng.Font.Underline = wdUnderlineNone
End If
oRng.Collapse 0
Loop
End With
Set oRng = ActiveDocument.Range
With oRng.Find
.Font.Underline = wdUnderlineWords
Do While .Execute
If Not oRng.Font.UnderlineColor = wdColorAutomatic Then
oRng.Font.Underline = wdUnderlineNone
End If
oRng.Collapse 0
Loop
End With
Next oRng
lbl_Exit:
Exit Sub
End Sub