How can I avoid a blue line show up when I click on a link?

I have a website and when I click on a link, I get this blue border around the link just during the time I am clicking开发者_运维知识库 it. When the new page loads, that highlighting is gone.

Here is an example screenshot how it looks right when I click on the link:

How can I stop this from happening?

Use outline: 0;

http://www.w3schools.com/CSS/pr_outline.asp
http://css-tricks.com/removing-the-dotted-outline/