Your cPanel has 2 DNS Editor areas. The Simple DNS Zone Editor and the Advanced DNS Zone Editor.
There are a few services out there that will require you to setup a DNS Zone. I'll explain how to do it here using blogger as an example.
Let's say you want to point the subdomain blog.mydomain.com to blogger. Of course, I feel I must mention that you can have a blog directly on your website as well, but blogger is also a popular option.
Head over to your cPanel and setup the subdomain blog (if you haven't already). To do this, click on the subdomain link and type the name of the subdomain you want into the box. For this example, I'm using blog. So, I type in blog and select my domain from the drop down box if it isn't already selected. The document root should fill in automatically for you. Then, click on the create button.
Next, head over to the Simple DNS Zone Editor. You will need to create a CNAME. Select your domain from the drop down box. Under Add an CNAME Record, enter your subdomain in the Name field and the CNAME that that has been given to you in the other. In my case, I would enter blog in the first and ghs.google.com in the second. ghs.google.com is the CNAME for blogger and blogspot.
Now, you need to tell blogger that you want to use your own domain name. In your blogger account, go to Settings and then Publishing. Then, follow the instructions on that page to change to a custom domain. In my case, I'd use blog.mydomain.com