If you have a static ip address, you can setup your dnn instalation (in IIS Yourdomain) to respond to all requests on the IP address, by

1. making sure that no other site is running on that ip, and

2. setting the site as the default (in iss site properties, website identification, click advanced - add a header on the ip address with no header /blank) so that it resonds to every request on that ip address.

Next in your DNS you need to add a wild card A record, so that your have *.yourdomain redirecting to your dedicated IP.

Now you should have anything.yourdomain loading the home page of your DotNetNuke portal. 

This is far as I got before I ran into this problem. 

Once anything.mydomain is loaded in the browser clicking on any link or causing a post back will redirect to mydomain, it loses the sub domain.

I tried to get around this by using a wild card in the definition of the domain for the portal, but this makes no difference.

Now the links on the portal (my portal at least) are output to the browser as javascript relative links

document.location.href='/Home/tabid/36/language/en-GB/Default.aspx    Which means that the links and post back are correctly set as relative, and are not causing the redirection to mydomain,  so I am figuring this is a side effect of the URL Re-writting which I am going to look at next.    If I figure it out I will let you know. 

I am no DNN expert though,  this is my first meaty DNN project and I have possibly already chosen it for a purpose it does not do :(