All practical effects. The actor's skin was layered with blue latex paint. Dried Latex, unlike powdered or liquid based makeup will not smudge or run with sweat. Latex paint dries into a flexible rubber membrane (think balloon) that will follow the skin. This allows movement without the paint rubbing off. You have to pull or rub vigorously to get it off right. Ever get school glue stuck and dried on your hands? It's like that to get it off.
The forehead was also a prosthetic latex cap, as seen in this auction photo:
STAR TREK: ENT “ELECTRONIC ANDORIAN ANTENNAE AND PROSTHETICS”: This incredible lot includes electronic Andorian antennae, prosthetic antennae and forehead application made for use during the Star Trek: Enterprise series. The electronic antennae are attached to a plastic skullcap with soft foam on the underside, covered electronics on top and net loops to grip into hair. A cable runs down the back that needs to plug into an unknown device (not included) in order for the antennae to move. The electronics are untested. The latex antennae are painted blue and fit over the electronic antennae. Also included is a latex Andorian forehead painted blue and a copy of the sheet handed out to the makeup artists titled “Andorian Makeup”. Please note the sheet is a copy and not an original but is included for reference.
As for the realistic skin look:
We applied the blue in subtle layers to give the skin a translucence instead of just slathering on blue paint.” —Brannon Braga (Source: Star Trek: Communicator issue 136, p. 37)
See this picture for how the latex layered, and this Tumblr post for the full makeup sequence (whose images were compiled from here):
According to actor Jeffrey Combs (in this interview):
There is actually an extra step with the Andorians. The first thing you have to do is go in and have this little flat contoured plate kind of thing with the wiring for the antennae put on your head first. Then you go have make-up done to a particular point and then you go back and have the wig placed on and then you go back to get the final touches on the makeup. It’s about a two and a half hour process to get into Shran.