Depending on how many sites you have in iWeb, you need to call them all something different, so Site 1, Site 2, Site 3 etc.
All you then do is go to your domain name registrar where you purchased your domain name and go to the web forwarding section. Select web forwarding and enable masking and then just forward to web.me.com/username/sitename. It's as simple as.
CNAME forwarding is a little more complex. For this, you need to firstly enter your domain name into your MobileMe account, so go to your MME account through System Preferences - log into it and then go to the Personal Domain Name section and enter your domain name in here.
Go to the control panel at your domain name registrar and go to the DNS settings and you then need to set a new CNAME. So the alias will be your domain name and your host will be web.me.com. It is normally something like www and @, which are your sub-domain and domain name and you then set a new CNAME and then forward both to web.me.com and then your first published site will be linked to that domain name. With this method your site will display the url
http://www.domain.com/sitename/pagename, rather than just
http://www.domain.com for every page with masked web forwarding.
It's not that complicated really.