This is a windows setting and nothing really to do with .Net.
If you look under Control Panel, Display, Appearance, Effects it should be the bottom option.
Personally I much prefer seeing the underline. I also think it makes it harder for new users to discover what can be done if it's hidden. Many a time I've had new users say things like 'What's that line for?' then you can explain the idea to them. If they never see the line how are they supposed to know about the ALT key?