sub domain is part of the domain, it's like subletting a room of an apartment. A records has to be setup on the dns for the domain e.g
mydomain.com has IP 123.456.789.999 and hosted with Godaddy. Now to get the sub domain
anothersite.mydomain.com
of which the site is actually on another server then
login to Godaddy and add an A record dnsimple anothersite.mydomain.com and point the IP to the other server 98.22.11.11
And that's it.