When you registered to host your domain name and you log into your account, you should have access to some kind of control panel that allows you to alter settings for your domain, such as e-mail, so you can set-up an e-mail address for your domain name and web forwarding.
To set-up CNAME, you need to go to DNS management or whatever your hosting company calls it.
CNAME will usually be @ and/or www. When I did it, I had to do both. I have two domain names with one hosting company. One of my domains is under CNAME, whilst the other is on web forwarding.
When I set-up my CNAME, I had to go to DNS management. I had to delete what was there already. In the first box for I entered @, the clicked on the choices in the next and entered CNAME. In the final box I entered web.mac.com. I then had to do it again for the www record, as that was what was there originally.
When you set-up CNAME, all you need at the end is web.mac.com. You don't need your username afterwards - this is only for web forwarding. If you use anything else, it won't work. I tried it and it came up error, so I went back and entered the web.mac.com and it worked perfectly.
If you use the CNAME, don't forget to go and log into your .Mac account and set it up to use your personal domain name, or CNAME won't work. It won't matter though it you are just using web forwarding.