A CNAME is a ZONE record that acts like an addition to your domain, to go to places on your site by simply typing the extra parton your domain.
A example of a CNAME people commonly use is blog.
So lets say you want to have you blog easy to find for people visiting your website. Now you don’t want them typing http://www.myrealycoolsite.com/myrealycoolblog Seems a bit long. So what we do instead is use a CNAME to simplify that a bit. So you could have http://blog.myrealycoolsite.com. That is a lot easier to remember and type.
Basicly what you do is make a CNAME that is called blog, and point it to http://www.myrealycoolsite.com/myrealycoolblog. and that’s it!
Side note on CNAME’s. Search engines(like Google, Bing, Yahoo, etc) see right through CNAME’s. So when they index your site for the search it will revile the actual path, not the CNAME.