Creating sub-domains

On many web-hosts, when you sign up you receive a sub domain. For example, if you sign up, at say, myHost.com or a place like that, you might get the domain "mySite.myHost.com"

How would I go about setting somthing like this up?

Well providing you have paid web hosting with a control panel and allowances for sub domains, you can set them up from your control panel or have I got your question mistaken?

I believe you are searching for a control panel or something?

http://www.cpanel.net/

I agree, most web hosting companys come with cPanel, which I can tell you from experince is one of the best control panels you can go with. They have sub domains area built in on there control panel.