CNAME is what's known as a Canonical Name Record. It's like creating an alias for one domain and giving it the name of another.
You will need to tell TrackingDesk what domain you want to run your traffic through and create the CNAME with the DNS provider you are using, which is usually the registrar that you used to register the domain.
For instance: If you own the domain www.mytrackingdomain.com you will want to set a cname for the host "tracking" to point to our tracking domain:
Your tracking domain will then be:
Your campaign URL will then be produced as:
Step by step guides to create a cname with popular registrars: