There are a lot of blue cheeses, and each has its own molds and ways of being made.
All cheese is made in basically three stages: The milk is curdled to make curds. The curds are concentrated and the whey removed. The cheese is aged, and the desired bacteria and molds are allowed to grow and work their magic, turning curds into cheese.
In the case of Roquefort, probably the best-known blue cheese, the mold is Penicillium roqueforti, found in the caves of Roquefort, France. It is a cousin of the mold that gave us penicillin, Penicillium notatum, but is itself pretty useless as an antibiotic compared with what you can buy in capsule form. There are all sorts of penicillins. The molds have given us a huge range of antibiotics.