You will need to set up a DNS entry in your DNS server. If this is managed by a hosting provider, contact them to find out how.
Once you've got the DNS set up, look up named virtual hosts as Sxooter says.
They aren't really sub-domains at all. Rather, they're just an extra "A" record in an existing domain (you could set one up as a true subdomain, but nobody ever actually does, nor do they need to).
Mark
