it's in your DNS configuration...

If I understand you correctly, you create subdomains through your webhost, not through your registrar. Check the control panel at your webhost to see if you can find where to add a subdomain. (And if you can't, contact your host's Support department.)

I've created subdomains before but always through the host. cPanel makes it extremely easy.

i actually oversimplified my previous response.
if you want the new subdomain to be hosted on a different host, you will need to specify this in the DNS.
otherwise, as long as your DNS is configured to send all or wildcard domain traffic to one host, that host will need additional configuration to handle specific subdomains.
if your host is accepting wildcard subdomains, make sure you are configured to canonicalize your domain or to reject non-canonical domains.

for example:
you can have example.com and www.example.com go to A hosting.
then you might also have blog.example.com and keyword.example.com go to A hosting.
but you might want store.example.com going to B hosting.

you should also make sure you know what happens when someone requests junk.example.com - if that request arrives at A hosting that should either get 301 redirected to the canonical domain, such as www.example.com, or a 404 response.

I don't see anything in the original poster's question that he wants the subdomain hosted at a different host. Seems to me that he just wanted to know where to create a simple subdomain, on his current host.

that's why i mentioned both scenarios in my second answer, just in case.

either way, if the DNS isn't configured with a wildcard record or a CNAME for the specific new subdomain, no host will see the request.