VBA is the visual basic Application that runs macros.  You can have either
subroutines (Sub) or Functions, both are reffered to as macros.  This code is
a subroutine.

1) Go to the VBA envirnoment Press Alt F11.
2) VBA Menu - Insert - Module
3) Copy macro from the word SUB to END SUB and paste into module sheet
4) You can run the macro 2 different ways.
  a) from VBA press F5 (or menu Run - Run)
  b) From Worksheet Tools - Macro - Macro - MakeSheets

You didn't specify the worksheet name or the column  letter where the citiy
names are located.  You may need to change these two lines

  1) FiltCol = "F" which is the column where the cities are located
  2) With Sheets("sheet1") which is the sheet name where you original data
is located.

Sub MakeSheets()

FiltCol = "F"    '<= change if necessary

With Sheets("sheet1")    '<= change if necessary

  .Columns(FiltCol).AdvancedFilter _
     Unique:=True, Action:=xlFilterInPlace
  Set UniqueCities = .Columns("F").SpecialCells( _
     Type:=xlCellTypeVisible, _
     Value:=xlTextValues)

  For Each city In UniqueCities
     If city <> "" Then
        .Columns(FiltCol).AutoFilter _
           field:=1, _
           Criteria1:=city
     
        Set newsht = Sheets.Add(after:=Sheets(Sheets.Count))
        newsht.Name = city
        .Cells.SpecialCells(Type:=xlCellTypeVisible).EntireRow.Copy _
           Destination:=newsht.Cells
        If .FilterMode = True Then
           .ShowAllData
        End If
     End If
  Next city
End With
End Sub