\documentclass[12pt,a5paper]{article}
\usepackage[bookmarks=false]{hyperref}

% generates warning
\hypersetup{urlbordercolor={green!80!black}}

\usepackage{xcolor}[2004/05/09]

\hypersetup{%
  linkbordercolor={0 0 1},
  filebordercolor={magenta!80!black}
}

\begin{document}
  \tableofcontents
  \section{Test}\label{test}

  Hello\footnote{World}.

  See \ref{test}.

  \url{http://www.dante.de/}

  \href{file:test.pdf}{test.pdf}
\end{document}