I have a domain name and I am trying to CNAME it somehow so that I can get my blog on google webmasters.

Here's an example of what I am trying to do:

My Blog URL: http://my.domain.com/blog
What I Want: http://blog.domain.com

Yahoo won't let you CNAME to a folder or index page, and so I am quite stumped on how to make this work.

Any suggestions?