"Blue moon" has a few different meanings. When in reference to the moon actually appearing to be bluish, it's usually the result of a large quantity of smoke or dust in the air -- for instance, after the eruption of Krakatoa in 1883, the moon looked blue for about two years. So no, it's not actually blue, but can look bluish.
(The other, more common usage of the term actually refers to an "extra" full moon. At one time it was used when there were four full moons in a quarter year -- there are normally three -- but more commonly today it's what we call the second full moon in one calendar month, should the fairly rare event occur. The lunar month is a little shy of 30 days, so it matches up pretty closely to the calendar month.)
( wikipedia entry )