How to wire this transformer? I am not clear on what these wire colors mean and where they go
Typically the ground is green, not blue, but you do have the colors correct in the general sense (L black and N white).   If the transformer doesn't have an input for the ground that will likely need to go somewhere else for safety so although the hook up is neglected for the transformer it is very likely still required elsewhere. 

As for the voltage of the wire.  If you are in the USA and that wire is in a standard plug, you should go to the 110V setting 

If you are not sure of the voltage, you will want to use a multimeter to check the value of the voltage, and that will give you confidence in the value.  You can stick the leads directly into the socket or on the wires themselves, just be sure to be safe.