HTML
Link 1
Link 2
Script (using jQuery)
$(document).ready(function(){
$('a').click(function(){
$('a').css('color', 'black');
$(this).css('color', 'blue');
});
});
CSS
a:link { color: black; }
a:visited { color: black; }
Fiddle here
Note: The color change will be applied to all anchors current on your page. If you want to limit it to a select few, then put them in a class and add that class to the selector.
Edit:
If you plan on doing anything other than simple color swap, then classes are definitely the way to go (just substitute the .css calls for .addClass and .removeClass with your custom class names.