If you need to set up a wildcard subdomain, that can be done in your account cPanel.  A wildcard DNS record is a record that matches requests for non-existent domain names. A wildcard DNS record is specified by using the "*" symbol to create a record for *.yourdomain.com.  This is most commonly implemented when using an SSL or for WordPress MU.

How to create a Wildcard Subdomain

cPanel makes creating a wildcard subdomain quick and easy.  First, log into your cPanel account and click on Subdomains:

Next, in the "subdomain" field just put a *.  A * is often used to signify a wildcard symbol and it does in cPanel as well.  Make sure that the Document Root stays as "public_html" as shown below:

Then click on "Create."  A confirmation page will appear, click "Go Back" and confirm the subdomain was created:

That is it!  Your account is now set up for wildcard subdomains.  Depending on the reason you've set up the Wildcard Subdomain, a .htaccess modification may be needed.  Please read this article for information on updating your .htaccess file.  If you set up the wildcard subdomain for WordPress MU, WordPress will update your .htaccess file automatically.