I finished to install MU in the adress http://mysite.com/mu (example), but for create new blog, the adress blog created like this: new_blog.mysite.com/mu
If I install MU in the mysite.com/mu, can the new blog have address like this: new_blog.mysite.com ?
If can like that, how the configure?
You need to install it in the root directory of your webserver (or the root directory of your virtual server).
I'm sure there is someway to do it with apache virtual hosts file... I'm not a expert at that, so you might want to research it a bit. But Steve has the best option... Just install it in the root.