OK I head that WP can now host more sites using one installation. I host my blog on my own computer using MAMP and latest WP.
But I can't find option to create another blog?
To achieve this simply, make sure your WordPress version is 3.0+. It is always recommended that you have the latest.
First you need to activate the network: http://codex.wordpress.org/Create_A_Network
Note that, as you are using a local installation, you won't have the choice to create your network in sub-directories as subdomains won't work. By reading and following the information in the link above, you'll get what I mean.