The folder icon with the Blubrry logo on top is for media hosted on blubrry.com.
Just a heads up if you have not herd us say this before, you should not host large files on your website. Website hosting is designed to serve many small files optimized to provide a fast page loading experience. Web hosting for websites is not designed to host large files. Large file downloads by their nature require many servers in order to provide a consistent experience. Putting such media on the same server will negatively impact the ability for web pages to load promptly, which negatively impacts your web users experience as well as your SEO. This is why the behavior is not directly supported in PowerPress. When at all possible we steer users to use media URLs with the intent that the media is hosted on infrastructure designed to host them.
There is a define option you can add to PowerPress that allows you to set a specific media URL excluding the filename, that way all you have to do is enter the file name in the media URL box and go. This is intended for you to host your media on another service or server isolated from your website's server. You could use that option to set a media URL that is on your physical server, but do so at your own risk. We will not accept blame for slow loading or performing websites if you host your podcast media on the same server.