Here is how you set a red underline under selected text. Select the text to underline. Visit the Show Fonts tool (command + t). Still in the Show Fonts toolbar, the last item in the underline selector is color. Select the (red) color you want for your underline, and if just a single underline, then press the underline button in the main format > Text > Style panel, or the single underline menu item in the underline selector in the Show Fonts toolbar.
To change back to the regular black underlined text, turn off the underline, and deselect the text. Close the underline color picker. Again, in the Show Fonts toolbar, select color at the bottom of the underline selection button. Set the color to black. Select the text for the underline. Press underline again, per the previous paragraph.
If your red underline was created via a special paragraph style, select the underlined text, and switch back to body style and follow the above steps.