lammert - 3:45 pm on May 9, 2011 (gmt 0)
If you are hosted on Linux, it is almost 100% sure that you have Apache. The problem with shared hosting is that you cannot just let the server listen to www.anodomain.com. That must be configured in a central file called httpd.conf, and that file is only accessible by your hosting company. Roughly there are two options:
1) ask your hosting company to add www.anodomain.com to the httpd.conf and let it point to the directory of your subdomain. This is technically the easiest solution but they may ask money for it.
2) Setup a framing or proxy server setup at your DNS provider or at another hosting company which translates www.anodomain.com requests to subdomain.example.com requests.
Technically the first one is the simplest one and I would do that. Your hosting company may ask a fee to do it, but I think that is worth it, looking at all the technical issues you'll have with the other option.