This means the Home Mini is ready to be set up and so is trying to connect to your Wi-Fi (the first part of setting up your Home Mini) - it'll continue flashing blue until it has connected.
If you're getting stuck at this stage, it's worth making sure that you don't have any Firewall or Parental restrictions on your Wi-Fi and checking that you're using a 2.4gGHz network (the Home Mini won't work with a 5GHz network).
The Home Mini can also get stuck at the flashing blue stage if you've tried to reset it a few times (we wouldn't recommend doing this unless you've been asked to by one of our awesome energy specialists), if this is the case - just get in touch and we'll help.