I've been looking quite a time for an answer but havent't found anything. So I hope for some tips, because I don't have php skills!
Let's say I have a free blog at myusername.blogwiththeirname.nnn and I also have an own domain that I would like to use for the blog.
First, a page could be like myusername.blogwiththeirname.nnn/2010/jan/ but
with a script at my domain's host, I could instead
reach the page from mydomain.nnn/2010/jan/ etc. Also, if I then click on any other link, each page, image or whatever /filename is same, from the original url. So what happens, is that only myusername.blogwiththeirname.nnn is replaced with mydomain.nnn.
Another thing, if I want to add somethings else, like a header and/or footer so it appears next to the original url's content, when using my domain, I guess that should be able to do too.
A main reason for this is also, to use a domain with a name that matches the main content keyword(s), considering SEO.