Use the Styles Pane (Shift+Ctrl+Alt+S) and set display of styles to all styles. Right-click on the Hyperlink and Followed Hyperlink Styles to modify them.

Usually followed hyperlink will have a different color than an unfollowed hyperlink.

My preference in Word (since I am preparing documents for printing) is to actually not have it underlined or differently colored. That makes for a document that is easier to read and where the hyperlinks which have underscores or blank spaces are easier to actually copy from the printed document.