In online help, use underlined text exclusively for hyperlinks. Even if links are not underlined in your document, don’t use underlined text for anything else; many users will click the underlined text because they think that it’s a link.
If you’ve underlined text in a printed manual, only use it for single words or short phrases. Long sections of underlined text are very difficult to read. What’s more, if you underline a long section, the underlining loses its function of pointing out what’s especially important.