I would recommend you start out by reading the Sitecore Administrators Cookbook and these common security concepts
EDIT: As Jammycam wrote, I was actually wrong. You can create users in different domains, and then add them to the Sitecore Client Authoring role. You could then create locally managed domains. In that way it might actually be possible. However the login screen will by default login to the sitecore domain, so you should prefix the username with the domain e.g. myLocalDomain\username. Then it should be possible I guess.