Login to the control panel and go to 'Sub-Domains'. To create a sub-domain, CPanel asks for the name you wish to use. MAKE SURE the sub-domain name you choose does NOT have a folder already on the server. If it does the sub-domain will not work.
Example... I want to create the sub-domain test.ethicalhost.ca so my sub name is going to be test. If I already have a folder in my public_html folder named 'test' I need to delete it or rename it before I create the sub-domain with the name 'test' through the CPanel.