Go from Start to Control panel>Folder Options. On the General tab, put a blob in the Radio button for "Single click etc" then blob ""Underline icon titles only when I point at them". After that, choose whether to leave the blob in Single click or put it back to "Double click" - the choice is all yours.
Don't forget to click Apply and OK your way out. If the underscores haven't already gone, they should after a restart.