The blue wire isn't used but is connected to the positive power wire inside the fan.
I missed your e-mail regarding the LED. If you want to just use a single color LED, run a 1K ohm resistor from the blue wire to the anode side of the LED, and then ground the cathode side. If you are going to use a multi-color LED, I'll need the p/n of the part that you're going to use since the internal connections vary from one LED to another. There's also an indicator available on the site's components page.