Depending on your server/control panel, you will either find sub domains under the 'Account Utilities' option in your control panel or, for cpanel users, they are listed under the "Domains" section.
Sub domains allow you to have a new web address for separate areas of your website, for example you could have support.yourdomain.com and point this at your yourdomain.com/support/ directory. You can use sub domains in conjunction with additional FTP accounts, creating in effect simple hosting accounts with a sub domain and an additional FTP accounts.
On each sub domain you add you also have full email capabilities, for example you could have an email box, forwarder, catch all forwarder or autoresponder on [email protected]_domain.com.
*Please note that sub domains are not available on basic Premium acounts.