AFAIK it is only blue when the drive is compressed.
In Windows Explorer, right-click the drive, and select properties. You will most likely see that it is compressed, hence the blue filenames
If it irritates you, like it irritates me, just go to Tools -> Folder Options -> View, then deselect the option: 'Show encrypted or compressed NTFS files in colour' - it's abt 3/4 down
All the blue compressed folders in the Windows directory are backups of files replaced by hotfixes and security updates. If you don't intent to uninstall the patches, you can delete them.