The core DNN blog module is setup so that only the "owner" of a particular blog can post. There is a new release of the module in the works, but I don't know for sure that it has multi user blog support.

You can allow each user to have their own blog, in that case you will need to create a new blog as each user, but you'll first have to define permissions on the module so that they can.

In the testing that I have so far done with DNN Blog 4.0 RC3, it appears that users other than the blog owner can post, as long as they have edit permissions on the blog module.  I have done this once, and will do more testing to confirm.