Well you're gonna want a texture that isn't pure blue.
Such as one with a color that's (254 0 0)
it's off by one from 255 but you can't tell that its not pure blue, yet the engine can.
And i can't imagine why you would want a pure blue texture in a map, try googling for some, or check the wadfather (again, google).
And if you do include custom textures in your map, when you go to compile, hit the expert tab, and where the $CSG line is, under parameters add (without the quotes)
" -wadinclude wadname"
where wadname is the name of the wad you're using. Make sure it's in the valve folder.