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:

• To install the Jekyll site into the directory you’re currently in, run jekyll new . If the existing directory isn’t empty, you can pass the –force option with jekyll new . –force.
• jekyll new automatically initiates bundle install to install the dependencies required. (If you don’t want Bundler to install the gems, use jekyll new myblog --skip-bundle.)
• By default, the Jekyll site installed by jekyll new uses a gem-based theme called Minima. With gem-based themes, some of the directories and files are stored in the theme-gem, hidden from your immediate view.
• We recommend setting up Jekyll with a gem-based theme but if you want to start with a blank slate, use jekyll new myblog --blank
• To learn about other parameters you can include with jekyll new, type jekyll new --help.