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If Google finds identical content, then expect the two URLs to be merged in Google. If the content changes between the times the two URLs are fetched (eg. an upload, or dynamic content) then expect them to remain separate.
I would be inclined to use lower case for all links, and if you're woried maybe to issue HTTP status 301 redirects from /Blue.html to /blue.html
If the server header [webmasterworld.com] is 404 then /blue.html should disappear as soon as it's been crawled. If it's /robots.txt excluded then it will remain whether it returns 404 or not.
Leaving the server technology to one side (although I agree with mack and BigDave), when a WWW agent (browser, robot, whatever) connects to /blue.html it is returned a page; therefore it does exist. I'd be willing to wager that /BLuE.hTmL will exist too, if it's requested.
On other servers, /Blue.html, blue.html and /BLuE.hTmL might serve different content so Google should not assume that they're the same (even thought they might make that assumption one day).
When you use Brett's server headers [webmasterworld.com] tool for /blue.htm, do you see a "Content-Location" header value for /Blue.htm? I don't think it'll help now, but it's good practice.
My hope is that the Content-Location will one day be used by search engines to avoid this problem without URL guessing-games.