How did you get your main domain to work without a redirect? Did you ever enter an IP address or name server address?
It went to the main domain when I setup the redirection on domain side to forward to the main domain.
...That sounds like they put your site in a <frame>.
Do you mean you think they do that if I buy the masking?
...Where should I set the sub domain to point to an IP?
Normally in your domain control panel. (With GoDaddy, in the Total DNS control panel.)
As I mentioned earlier, Cheapdomain.com uses exactly the same control panel as GoDaddy. I do believe that Cheapdomain.com is actually GoDaddy's "cheap" version, however I never found anything about this on the internet but it very much looks that way (almost 100% same menus, controls, applications... only the colors differ, some prices and some services are less at cheapdomain of course).
So, long story short, Cheapdomain also has the same Total DNS control panel, so if you're familiar with the Godaddy version of the same, you may guide me to the point where this modification has to be done. By the way, I had to change the IP in there once I moved to Godaddy hosting, which I never had to do with any other hosting before (only the name servers needed to be changed of course).