There’s a couple different ways to do it, if your highlight and blue rectangle are both on their own layer.
In the Layers palette, Alt/Option-click between your highlight layer and blue layer. That will create a clipping group of the two layers so your highlight will only appear where the blue layer is opaque. You can then link the two layers together if you want the highlight to stay in the same spot as you move the blue rectangle around.
If you don’t want to go that way, CTL/Command-click on the thumbnail of the blue rectangle in the Layers palette to create a selection the exact size and shape of the rectangle. Then select your highlight layer and add a layer mask (the icon at the bottom of the Layer palette that looks like a dark circle inside a white rectangle). Your highlight will be masked out in the shape of your blue rectangle.
And if you’re working with vector shapes and want to keep everything vector, select the path of your blue rectangle, copy, go to the Paths palette, select your highlight path layer and paste the new path into the layer (you’ll now have two paths). With the new rectangle path still selected, click on the Pen tool, and in the option bar along the top of the screen, set the path to Intersect Shape Areas.
One of those methods should do the trick for you.
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It is easier to destroy than to create.
More fun, too.