Remove one sheet of Fillo dough to your work surface, so the long side of the Fillo is facing you, lengthwise.
Lightly butter the right half of the Fillo.
Fold the un-buttered side over the buttered side and lightly butter the top.
Remove Feta cheese from package. If it's packed in brine, be sure to blot with a paper towel to remove excess moisture.
Nearest you, place a piece of Feta cheese, centered left to right, about 2 inches from the bottom.
Place 2 teaspoons of blueberry preserves atop the Feta.
Add 4-5 fresh blueberries atop the preserves.
Fold the left and right sides of the Fillo, over the Blueberry/Feta mound, and butter lightly.
Fold up the bottom of the Fillo packet, and continue to roll/fold until the end.
Place on a buttered sheet pan, and use the tip of a sharp knife to cut through the top layer from edge to edge. Butter the exposed top.
Repeat until you have all the packets you desire.
Place in a pre-heated oven and bake for 12 minutes.
Remove from oven, dust with Confectioner's Sugar and some lemon zest and serve.