I'm assuming you are talking Windows XP (possibly also Windows 2000). If so, you are seeing which files Windows has decided to compress to save space. Compressed files turn blue. It's been a while since I've looked into this, but I believe Windows looks at the last time a file was accessed to decide whether to compress it. It's not a big issue. The compressed file might take a bit longer to open, but since it isn't being accessed anyway, that won't bother most people.

You can turn off the compression if it does bothers you.