It depends on where you are talking about. If you are referring to links in general (ex. the names displayed in comments/forum posts, edit histories, logs), there is a version slightly different from the one Nightmare Springbear linked to. It can be found here. This method is better as it covers both relative and absolute links. However, I do not believe it is possible to get two colors with those. If, however, you are talking about signatures, that can be done by changing your signature.