jekyll new <PATH> installs a new Jekyll site at the path specified (relative to current directory). In this case, Jekyll will be installed in a directory called myblog. Here are some additional details:

No more databases, comment moderation, or pesky updates to install-just your content. Markdown, Liquid, HTML & CSS go in. Static sites come out ready for deployment. Permalinks, categories, pages, posts, and custom layouts are all first-class citizens here.

If you’ve gotten pretty comfortable with Markdown in Jekyll, then you may enjoy some more advanced tips about the types of things you can do with it!