Are you using the latest update to InDesign CC 9.2? If so a character style called Hyperlink is automatically formed when you create a hyperlink (a good thing!) and its default appearance is a blue underline. If you want to change it, just edit the Hyperlink character style which appears in the Edit Hyperlink dialog when you double-click on a hyperlink. Do this in the Character Styles panel (Window > Styles > Character Styles). You could also choose a different character style or choose [None].
If that isn't the version of InDesign you're using please provide more information.
Thanks Steve. Yes I am using 9.2.
Is there a way to change this default style coming up? Or do I have to change the style to none everytime I create a new document? I am creating a lot of new documents that have urls hyperlinking but I don't want them to have blue underlines.
You can create a Hyperlink style which has no style attributes which you can add by default when no files are open.
Thanks so much, that was great advice! I've just done that and it'll work great for what I need. Cheers!