This push button is made of black plastic with the LED built in. There are two contacts for the LED (marked + and -) and two contacts for the button. The forward voltage is about 3V so a 220 to 1000 ohm resistor is recommended if you are using a power source of 3V or higher.
This particular button is blue and acts as an on/off switch. The contacts are either connected or not connected depending on the position of the button. Pressing the button toggles between on and off. The LED works independently of the button. For example, you can make the LED turn on when the switch is on, or off when the switch is off, or always on etc.