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You can try it for yourself by clicking on a link and mousing off of that link before letting go. For folks without the ability to use a mouse, they still need some visual indicator that they currently have a link active (so, for example, they can press enter to navigate to that link). This is default styling for the purpose of accessibility. I believe in previous versions and in some other browsers it is by default gray. In Firefox 3, the color is determined by the color of the text.
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Anchor links (’s) by default have a dotted outline around them when they become “active” or “focused”.
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