The finish is called "bluing", it can be any color from a dark blue to nearly black. It is a metal oxide finish and it penetrates the surface of the steel. It is not applied to the surface. You can clean it with any brand of gun cleaner and then wipe down the surface with gun oil leaving only a very slight trace of oil behind.
Bluing is not very effective as an anti-corrosive finish. You will need to keep the gun lightly oiled to remain rust free.
Do not use any sort of abrasive on this finish as you will quickly abrade through the layer of steel that contains the color and will leave the surface bare.
Google "Gun bluing" for more information.