An insect's skeleton is not made up of bones, like ours, but of proteins and chitin. Chitin is a sugar kind of like table sugar. Many of you may have seen a beetle like this one to the left. That was you crushing its exoskeleton. Our muscles attach to our skeleton.
Insects have their muscles attached to their skeleton, too.
But our skeleton grows with us as the rest of our body grows. An insect's skeleton doesn't. So the insect has to shed his exoskeleton when his body gets too big for it. At least I know a tarantula's blood is clear, so it would stand to reason that an insect's blood is clear. The fluid is not enclosed in a system of arteries, veins, and capillaries but fills the body cavity.