We present a Lax-Friedrichs type algorithm to numerically integrate a class of nonlocal and nonlinear systems of conservation laws in several space dimensions. The convergence of the approximate solutions is proved, also providing the existence of solution in a slightly more general setting than in other results in the current literature. An application to a crowd dynamics model is considered. This numerical algorithm is then used to test the conjecture that as the convolution kernels converge to a Dirac $\delta$, the nonlocal problem converges to its non-nonlocal analogue.