how to add subdomain dynamically

For this, you need to have name-server control. As per my understanding when we ask for mysite.com, our request goes to .com  nameserver and ask it to where to find mysite.

If you want to add subdomains, these will require to map with the your IP address for your domain.
Check with your own name server or Check here some open source DNS servers

I found a thread on asp.net, may it give you better understanding-
http://forums.asp.net/t/874598.aspx/1