In this paper a new optimization algorithm based on ant colony metaphor (ACO)and a new approach for the Multiple Knapsack Problem is presented. TheMKP is the problem of assigning a subset of n items to m distinct knapsacks, such that the total profit sum of the selected items is maximized, without exceeding the capacity of each of the knapsacks. The problem has several difficulties in adaptation as well as the trail representation of the solutions of MKP or a dynamically changed heuristic function applied in this approach. Presented results show the power of the ACO approach for solving this type of subset problems.