The hyperref package provides all of the functionality you seek. Here's a minimal example:

\documentclass{article}
\usepackage{xcolor}% http://ctan.org/pkg/xcolor
\usepackage{hyperref}% http://ctan.org/pkg/hyperref
\hypersetup{
colorlinks=true,
linkcolor=blue!50!red,
urlcolor=green!70!black
}
\begin{document}
\section{First section}\label{firstsec} Visit \href{http://tex.stackexchange.com}{TeX.SX}.
\section{Second section}See Section~\ref{firstsec}.
\end{document}
colorlinks=true provides coloured links (rather than bordered links), after which you can specify a variety of colours, depending on the link type. From the hyperref documentation:
linkcolor: default is red; Colour for normal internal links.
anchorcolor: default is black; Colour for anchor text.
citecolor: default is green; Colour for bibliographical citations in text.
filecolor: default is cyan; Colour for URLs which open local files.
menucolor: default is red; Colour for Acrobat menu items.
runcolor: default is filecolor; Colour for run links (launch annotations).
urlcolor: default is magenta; Colour for linked URLs.
allcolors: set all colour options (without border and field options).
hyperref. Once you've figured that out, you find all the options you need in thehyperrefmanual. – doncherry May 31 '12 at 07:16\documentclass{article} \begin{document} \section{Foo}\label{Foo}\ref{Foo} \end{document}. Hence, your document class (≠article) might be loadinghyperref. As for external links, which macro do you use? It must be provided by some package as well. – doncherry May 31 '12 at 07:38