Just set your css like this:
a { color: #0000ff; text-decoration: none; }
a:hover { color: #0000ff; text-decoration: none; }
The link will still work, but it won't change when you mouseover it, you can set the same for a:active, and a:visited to complete the effect.
Personally, I find it's more user-friendly to give the user some indication that he's over the link...