Insect trachea are a network of tiny tubes that go throughout the insect's body. These tubes connect each cell of the body to the outside, through holes in the abdomen (the tail section) called spiracles.
Insects don't get their oxygen with lungs like we do. Instead, their tracheal system allows each cell in the insect's body to get oxygen directly from the outside air. Air can go in through the spiracles, travel through the tracheal tubes, and go right to each cell.
Since oxygen can get from the air to the insect's cells directly, insects don't need to carry oxygen in their blood like we do! That's why insect blood isn't red: because it doesn't have the oxygen-carrying molecules that make human blood red.