After configuring a custom hostname for your CacheFly account in the Hostname Manager, you (or your primary hosting company) must make changes do your DNS Zone File in order to actually point requests to your CacheFly account. The cname should be main to your primary cachefly account now.
If your username is: myusername
and you're adding:
You would configure:
static.mydomain.com. 86400 IN CNAME myusername.cachefly.net.
In your DNS zone file