I just installed WPMU on an alias domain on my shared hosting plan at godaddy.com
First you have to have a dedicated IP, after you purchase it you must apply your dedicated IP to the hosting (http://help.godaddy.com/topic/306/article/1057)
Then if you are using an aliased domain you need to edit the .htaccess in the root. This is what I found that worked. I have a wordpress install in my root as well as the MU in a folder.
# BEGIN WordPress
<IfModule mod_rewrite.c>
RewriteCond %{HTTP_HOST} ^(www.)?([a-z0-9-]+).domain2.com [NC]
RewriteCond %{SCRIPT_FILENAME} !^/domain2folder [NC]
RewriteRule ^(.*)$ /zinegeist/$1 [L]
RewriteEngine On
RewriteBase /
RewriteCond %{REQUEST_FILENAME} !-f
RewriteCond %{REQUEST_FILENAME} !-d
RewriteRule . /index.php [L]
</IfModule>
# END WordPress
I was having a problem with the ssub.domain2.com going to sub.primarydomain.com and showing primarydomain.com
If you are getting 403 errors it is probably caused by the dedicated ip no being fully propagated. Make sure it is applied to the account and give it 4-24 hours.
Once it is set up it will show in your hosting control center summary
Server IP Address: 72.167.131.XX
Dedicated IP Address: 72.167.187.XX
Hope this helps!