Setting up a Joomla Blog is not that difficult, you just need to be aware of some things before your start to create your articles.

First thing your need to do is to create a section (or category in Joomla! 2.5) that will hold all the categories of the topics you want to blog about.
In my case that is a section called Joomla Blog....pretty cool he?

After that, create the categories for your blog section.