Hi, harrier,
Wow, talk about a smell!
I've had dogs to do the same thing; also some that have "played" with a skunk!
Here is a link explaining 3 or 4 "recipes" to try:
http://dogs.about.com/cs/generalcare/p/skunk.htm
They use mixtures of hydrogen perioxide, vinegar, soap, etc.
I have used a 50-50 mixture of White Distilled Vinegar and water.
Be careful though, don't use too much vinegar. Dogs and cats can't stand the smell of vinegar, but it's okay when used as one of the recipes above.
I do wish you the best of luck, and hopefully your Collie will be smelling good again soon!