\documentclass{article}
\usepackage{color}
\usepackage[colorlinks]{hyperref}
\makeatletter
\def\HyColor@UseColor#1{%
\ifx#1\relax
\else
\ifx#1\@empty
\else
\edef\next{#1}%expand the color completly ...
\expandafter\HyColor@@UseColor\next\@nil
\fi
\fi
}
\makeatother
\hypersetup{
linkcolor={[rgb]{0,0.2,0.6}},
citecolor={[rgb]{0,0.6,0.2}},
filecolor={[rgb]{0.8,0,0.8}},
urlcolor={[rgb]{0.8,0,0.8}},
%runcolor={[rgb]{0.8,0,0.8}}
}
\begin{document}
\href{file:abc}{abc}
\href{run:abc}{abc}