If I look into my crystal ball, it tells me that you are talking about a Caps Lock Indicator in the notification area that uses a small blue icon to indicate that the status of the Caps Lock is On.
If this is the case, then the solution will depend greatly on what version of Windows you have and whether the small utility program is from your computer manufacturer, an aftermarket keyboard manufacturer or possibly a freeware utility program downloaded from the Internet.
Could you clarify a few of these points and supply the version of Windows you are running as well as the make/model of the computer in question? Do you use an aftermarket keyboard/mouse and do you recall downloading/installing any utility programs for indicating the status of Caps Lock?
In the interim, you might want to check the options available to you in the Control Panel's Keyboad applet. Go through the property pages and look for a checkbox that will turn the Caps Lock indicator back on.