Something

<?php
if ($page == 'index'){
        echo '<U>Home</U> | ';
}
else
{
        echo "<a href='index.php?page=index'>Home</a> | ";
}

if ($page == 'contact'){
        echo '<U>Contact</U> | ';
}
else
{
        echo "<a href='contact.php?page=contact'>Contact</a> | ";
}