The song you're referring to is probably "Still Got the Blues (For You)" by Gary Moore. It's on two of his albums: "Blues Alive" (1992) and "Best of the Blues" (2002). It's also sung by him on four "various artists" compilations: "In the Air Tonight: Virgin's Greatest Hits" (1994), "Rock for the Ages" (1997), "Kuschelrock, Vol. 4" (1998), and "Double Shot of Blues" (2001). It's covered by Eddie C on "Tip of the Iceberg" (1997).

Sound samples can be found at Yahoo! Music:

...no friend of mine.
I should have known, time after time.
So long, it was so long ago,
But I've still got the blues for you.