The underscore is one or more underlined space characters. The fix is to remove anything that might be taken as a space inside an a element, such as a line break. A line break and other whitespaceinside a tag (between < and >) is OK, though:
<a href="http://www.mysql.com"><img src="images/php-power-micro2.png"
alt="PHP powered" border="0" title="PHP" /></a>
<a href="http://www.php.net"><img src="images/mysql-power.jpg"
alt="MySQL powered" border="0" title="MySQL"/ ></a>
This means that there is still a line break between the a elements, and browsers generally treat it as a space. In this case, this probably does not matter, since the space is outside a elements and thus won’t be underlined; it just causes a little spacing. But to make the images more clearly separate, consider adding padding-left on the second a element.