I agree with Christoph. The following minimal example using \underline
{...\cite{...}} works fine:
\documentclass{article}
\begin{document}
This is just a \underline{\cite{tester}} test.
\begin{thebibliography}{x}
\bibitem{tester} This is a test
\end{thebibliography}
\end{document}
Without any further information, we won't know what to do.
Werner