If you haven't done this before and want to explore a bit, I'd recommend using ANTLR 3. You can get an interpreter up and running pretty easily and it targets the major platforms, so you can typically use the produced grammars and generators in your language of choice. Recursive descent is usually the easiest to implement.
This is really only 5 or 10% of the work involved in creating your own language, but it's enough to experiment and give you an idea if you want to proceed with the long and hard work of developing it further.
The author actually recommends against using an lexer/parser generator. If you are just playing around they can be find but he's right that when you are ready to get serious they often end up being a hindrance.
Additionally a it's not usually that hard to create your own tokenizer and parser by hand.
This is really only 5 or 10% of the work involved in creating your own language, but it's enough to experiment and give you an idea if you want to proceed with the long and hard work of developing it further.