It's really a halo rather than a sunset - happens because of the way the fine Mars dust in the atmosphere scatters light - it scatters red light mostly at wide angles, but it also scatters blue light - and at shallow angles, scatters blue light better than red light.
So, the skies look red as you'd expect - but you get this blue halo around the sun - which you should get in daytime also..
Here is a video of a sunset made reconstructed from a sequence of stills from Opportunity.
At sunset the sun is also slightly bluer because the dust scatters red light away from it and also absorbs blue light - especially in dust storms.
In the case of the Earth's atmosphere, then our skies are blue because the oxygen and nitrogen molecules (which make up most of our atmosphere) scatter blue light preferentially - and that same effect makes the sunsets yellows and reds because the blue light gets scattered away and also dust absorbs light - and all that is more effective at sunset when the sun is low.
This is what makes our sun yellow also. Our star is actually pretty much white rather than yellow as seen from space - it is because the blue light gets scattered away by our atmosphere that it has a yellowish tinge for us.
But Mars has hardly any atmosphere, not nearly enough to turn it blue, and lots of red dust, so its skies are red from the colour of the dust and the scattering of light by the dust - with a white sun - but with a blue halo around the sun, because the dust happens to scatter more blue than red light in the forward direction, and the sun can get a blue tint also at sunset.
DETAILS
The blue halo is caused by "Mie scattering" - scattering of light by the very fine dust particles in the Mars atmosphere.
Turns out that with model Mars dust particles - they scatter blue light better than red light for small angles, up to about 10 degrees, very blue (six times more blue light than red light scattered at very small angles), and red only begins to dominate at 28 degrees.