A quick google search suggests blue files are 'compressed files'... is this correct? What does that mean exactly, and how does that effect the running of this stuff? I'm pretty sure it has something to do with the my D drive and how its partitioned, but I don't know whats up with this... if someone could just let me know whats up with this, it'd be appreciated, thanks!

A compressed file is compressed because if it weren't it would gobble up too much of your HDD space. It shouldn't effect it's gameplay or opening the file/program.