Blue file names mean that the file shave been compressed by the windows disk cleanup manager.
Download TweakUI from microsoft:
http://www.microsoft.com/windowsxp/downloads/powertoys/xppowertoys.mspx
Run Tweak UI and go to the Explorer > Colors section. Select the color for "compressed files" to be whatever you want it to be - such as black.
Hit OK, and problem solved :)
Tom Steventon - TBCWorkshop
September 2006