It means that most people vote for the Democrat Party there. Take a look at this: http://en.wikipedia.org/wiki/Red_states_and_blue_states

In the U.S. the Democratic and Republican parties dominate politics. The U.S. almost has "two-party system. The "blue states" are those that tend to vote Democratic, the "red states" those that tend to vote Republican. Both parties are centrist. The Democrats tend toward the left. The Republicans toward the right. Labor unions tend to support the Democratic party and vice versa.