Dignan, there are two aftermarket products that will do exactly what you are looking for, but they are not cheap.

They are Mask Pro and Knock Out.

Their job is to be able to select and mask fuzzy-edged objects properly. They are rather amazing in what they can do. The example you've cited above is like the easiest thing they can tackle, they can do a lot more than that.

If you don't want something as powerful as those products, you have to mess around with the fuzzy-edge features of your selection tool. For instance, in Paint Shop Pro, you can feather the edges of a selection. However, it will not get a perfect accurate selection that removes the blue from your selection exactly the way you want it, you'll have to futz with it.