In regards to the flashing leds on your EVO-ALL, The Blue led just means that the EVO-ALL is detecting CAN-bus. Everytime there is an action on the CAN-bus network on the vehicle the EVO-ALL will flash the blue led signifying that it sees data on the network. Thats why when you hit the lock button on your key fob the blue led flickers as the EVO reads the data that passes.
The Red led signifies Ground When Running (GWR). That is a negative signal that when triggered by the remote starter will tell the EVO-ALL to turn on. This led will be on for the entire time that the vehicle will be remote started. When the GWR is interupted, the signal to the module will stop and the vehicle will shut down.
The Yellow led signifies ignition. This is the second led to come on when the remote starter is activated. The red led will come on first, then the yellow. This tells you that the EVO-ALL is detecting ignition and will proceed by enabling the EVO to bypass the immobilizer system in order to start the vehicle. The yellow ignition wire must be hooked up in order to program the module.
As for the second part of your question, I assume that your module programmed successfully. Are you running the EVO as a stand alone remote starter? On what vehicle? It is normal that when you press the lock button the blue led flashes. Also make sure you plug your EVO-ALL to the Flash link updater and follow the recommended firmware update for your particular application. The yellow will stay on as long as the vehicle is running, so yellow led will be on as the EVO is detecting that the ignition is on.