Yup, like the rest said its compressed.
To remove the compression, you can right click the file/folder, click
Properties.
Click Advanced, remove the tick against the compress option and click ok all
the way.
If you want to keep the compess option, but see the blue color as an eye
sore, you can remove the coloring by doing the following;
In Windows Explorer. Click Tools, Folders Options. Click on View Tab.
Remove the tick against "Show Encrypted or compresssed NTFS files in color"
option and click ok all the way. In this case, you have removed the
coloring, but kept the files under compression.
Cheers,
/Dennis