Here's a cute mailbox:
http://www.orientaltrading.com/application?namespace=brow...
Or you can make one yourself out of posterboard. I think just by watching the show, and doing what they do would be cute. You can make blue cupcakes (just some blue food coloring with white frosting, and get blue's clue stickers. Cut them out and tape them to toothpicks and insert them into the cupcakes.
Here's an easy template on making a Blues Clues cake:
http://perfect-cake-ideas.com/documents/bluescluescake.html
You can cut out paw prints out of blue construction paper and tape them on the wall.
Here are some decorations:
http://www.birthdayinabox.com/lobby.asp-page-theme-dept_i...
And here are some more ideas:
http://www.partyplanimals.com/ideas/Blues_Clues.html
I think the kids will have a lot of fun!