I am installing a new phone jack. The old phone jack has 5 wires red, yellow, black, green and blue. The new phone jack has 4 wires red, yellow, black, and green but no blue. Where should I connect the blue wire? Or should I not connect the blue wire?

Don't connect the Blue, red and green is usually line 1, and yellow and black is line 2. If this is only 5 conductor, it may be thermostat wiring? Does it have a brown outer covering? Usually a blue will be paired with a white on 6 conductor phone wiring.