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:
3 posts tagged Jekyll
What is Jekyll?
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.
Advanced Markdown tips
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!