Hi guys!
Well, I bought mine yesterday and I had the same "problem".
I don't really know why it happens but what I did was:
1. The blue paper should be a bit more "inside" of the camera than the rest of the papers. There's a little hole on the right (where it gets out from then) and when you turn on again the camera the blue paper leaves the camera immediately without doing anything in special.
2. Then you're able to use ur camera.
If you need more help, I would be pleased to share with you my experience
Bye! :D