This is fairly easy to accomplish using IE's Accessibility options in Tools » Internet Options » General » Accessibility. If you follow the instructions to the letter, results look as blindingly amazing as this:

Create a file named userstyle-programmers.css
and enter the following contents:
.question-page .post-text a {
text-decoration: underline !important;
color: orange !important;
}
.question-page .post-text a:hover {
color: yellow !important;
}
Select it in the aforementioned dialog under User style sheet and save.

Now, one downside to this is that is it applied to all sites. While the CSS is probably restrictive enough to only actually apply the style to SE sites, it'll get applied to all of them.

To prevent this, create a new file named e.g. userstyle-switcher.css
with the following contents that are actually a script executed for every html
element loaded. Not as nice as domain selection in Greasemonkey, but at least it works.
html {
behavior:expression( (function(el){
var _doc = el.document;
if(_doc.location.host.toLowerCase() == 'programmers.stackexchange.com') {
var elmLink = _doc.createElement('link');
elmLink.rel='stylesheet';
elmLink.type='text/css';
elmLink.href= 'file://C:/Users/Daniel Beck/Documents/userstyle-programmers.css';
_doc.getElementsByTagName('head')[0].appendChild(elmLink);
}
el.runtimeStyle.behavior = 'none';
})(this));
}
Of course, replace C:/Users/Daniel Beck/Documents/userstyle-programmers.css
with wherever you saved the other user style sheet file. Remember to use forward slashes and specify the actual path on disk, not what Explorer shows you (so no My Documents on e.g. Windows 7). Save, and select this file as the user style sheet for IE. The script will get execute on every web page, but the other CSS file will only get loaded when on programmers.stackexchange.com
.
Most of the "CSS" used in the switcher script is from here, but I have no idea what that page says around the code.