When you did the water change, did you add in water conditioner?
Almost all 23 of my bettas came from walmart (sadly most of them died trying to drive them from alaska to new york). Most just needed some clean, warm water and some time to adjust. However if the blue one does not improve or starts to do worse, start a post in the emergency and disease section. I have learned that even if the fish LOOKS ok when you buy it, it may still be sick in some way - especially if it came from walmart or petco. Ammonia builds up quick in their cups and that is usually the culprit.
Oh and if you do go with a filter, make sure you do some research on the nitrogen cycle before hand!