When I do that, it only redirects. I've tried a few things in htaccess and cant get it to work. I use cPanel 11. Any help?
You can't "point" DNS to a URL. DNS has absolutely nothing to do with anything to the right of the /.
Further, you can't "point" anything with .htaccess, or any webserver configuration file. You can only do that in your DNS configuration.
DNS basically only points domain names to IP addresses. (There are a couple of ways of doing it, but it all boils down to that.)
You can "fake" it with a "framed forward", which is not a great solution. An external website puts your site in a frame, such that it appears that users are accessing the first site.
There's an easier solution, though. Simply use config files, .htaccess, or a symbolic link (assuming you are on a Linux system) to arrange that sub.example.com uses the same physical disk directory as example.com/sub.
You will have to be careful to make sure all your links within your site are relative.
