If  youre hyperlinking from text it should do this already.

If youre hyperlinking from the cell (which is a good idea!) you will need to
set a custom animation > emphasis >change font colour and trigger it from a
click on the cell. If you dont want the cell to be clicked again you could
instead set the triggers to exit the original cell and replace with a new
cell (different colour) with no hyperlink.

If you make the text the hyperlink, it will automatically change color with
no extra effort. If you want the box that the text is in to be the
hyperlink, then (assuming you are using PowerPoint 2002 or greater), you
can use trigger animations to achieve this effect (a click on the box
triggers another box to enter on top of the original box with different
color text). If you are using PowerPoint 97 or 2000, you will probably need
to use VBA macros to achieve this effect.
--David