We have a web application running on Windows Azure Cloud Service at ourapp.cloudapp.net. We created a CName record from my.ourapp.com<
Just in case someone else needs help on this, there were two problems:
As you can see we had to play around to get this to work but the following bindings meant that both domains would point to the same web application.
You will notice that we have added in my.ourapp.com twice - one with SNI enabled and an IP address and the other without. SNI does not work with IE on Windows XP - we added the last option as a default, non-SNI binding so our main domain would always work, even on IE & XP.
Hope that helps someone.