If you are seeing blue files in a folder and file listing utility like Windows Explorer, then that means the files are either encrypted or compressed.
If you goto Control Panel > Folder options, then the view tab, scroll down and you will see an entry, "Show encrypted or compressed NTFS files in color"
Encrypted files are your choice. Compressed files reduce the amount of hard disk space used. The Microsoft link below tells more;
The MS Word files and PDF Files are changing into blue color day by day.
What could be the problem?