Hi,
A CNAME is a DNS resource record type so this is something you would need to setup with your domain DNS provider. However once you have selected the sub-domain you wish to use, you can set-up the Zen side of it in the Helm interface. This will create a folder for that specified sub-domain, in which you should upload/install the typepad software. As long as the DNS for the sub-domain points to the IP of the Helm hosted domain (and sub-domain you have created) then the typepad blog should load when you browse to the sub-domain.
I can appreciate that this explanation might not be all that clear so if you do have any issues with it just let me know.