If you are using a windows web server I have no idea how to help you.
If you are using Linux, do you have access to your apache config files? (In a Debian distro it's in /etc/apache2)
You will have to install and enable (turn on) the virtual hosting mod. (vhost.mod) available through apt-get or synaptic.
You will have to edit sites-enabled.conf - this file will route requests for subdomains to appropriate directories in the server file path.
Be sure to change the 'DocumentRoot' value and the <Directory> value below.
Remember that domains are read from right to left and document paths are read left to right, generally speaking.
<VirtualHost *:80>
ServerAdmin webmaster@spaccioworld.com
ServerName spaccioworld.com
ServerAlias mix1986.blog.spaccioworld.com
DocumentRoot /var/www/path/to/spacioworld/blog/mix1986
<Directory var/www/path/to/spacioworld/blog/mix1986>
Options Indexes FollowSymLinks MultiViews
AllowOverride None
Order allow,deny
allow from all
</Directory>
# Possible values include: debug, info, notice, warn, error, crit,
# alert, emerg.
LogLevel warn
</VirtualHost>
If you are considering adding a lot of blogs to your domain, you might want to look at other options otherwise you will have to do this every time you add a new blog.
I don't actually use WPMU so I can't say if this will work for you or not. I created my own multi-blog hosting site using Wordpress, Apache, a little php, and some Bash scripts.
FYI, a 'mx record' is for email ;)