you do not need to use the colour key. it is correct that you need ae6.5 installed to see the additional options but if you just have premier pro installed that is enough.
choose the effects tab - select keying and select chroma key as an effect.
use the colour picker to pick the background colour (blue in your case - btw i find a very light green to be the best background) and once you have the effect on the layer then use the similarity and blend options to key out the background.
when exporting use quicktime movie with tga format set to millions + colours to ensure you have the alpha channel.
works fine every time but the quality of the background colour is the most important factor in the whole process. so if your subject has similar colors on or there are shadows etc - it can be a bit poor.
btw if you do have ae6.5 you should carry on using premiere as you can produce smaller file sizes in my experience. having said that there are some pretty cool effects you can conjure up in ae.
hth