Have you run the network test and confirmed actinic passes all of the tests? You should get a confirmation email confirming that all is ok. If it fails, check your settings against the settings in the forum to confirm you have them setup correctly.
But in a standard site that colour can be controlled by changing the colour value of a.visited in the Actinic Stylesheet OR by selecting Design | Themes click the button bottom left for Advanced Theme Configuration, then on the Color tab look for the visited link colour setting.
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