Eyes Wide Shut, Theory.

Right. So I did my research. I actually wrote a whole 3 pages about it. I will not bore you with 3 pages of colour theory though.

The main idea is this:
Red is a symbol for sin. This encompasses lust, sex, money, power, and generally what many people in high places are after. It's a kind of status symbol in the film.
Blue is a symbol of awakening, knowledge and truth.
The window is a symbol of perspective on life, real life, reality. It is a metaphor for a narrow vision of this reality. It has glass in it to protect us from what is outside.
Doors also have similar symbolism. They represent that same narrow vision of reality, with the exception that you can walk through them. So they give us the opportunity to accept the outside world.

If you watch the whole scene (on youtube it's in two parts). You'll see that Kidman stumbles towards the  doorway to the bathroom which is flooded in blue light. She is coming to understand what Cruise is telling her, that the only reason that men want to talk to a woman is to fuck her. But she isn't ready to accept that. In fact she heads to sit under the window. The window has blue light coming through it but with a red curtain on the sides. Red as a symbol for lust, power and money which are what Cruise (the successful doctor) is after. He wants to block out reality. Curtains block out that blue light, reality. And she starts his journey to opening his eyes to the reality of life, by telling him the story about the military man she saw on vacation.

It's brilliant if Kubrick was conscious of it all, as I think he was considering the wide use of the colours throughout the film.