Using Tilt4832 method (described above) I got a WPMU site in no time flat..
This is what I did..
Went into my cPanel account, and created a sub-domain with the name of *
Then went back into the sub-domain section, and redirected the * sub-domain to point to my main domain..
So, for example, I redirected my * sub-domain to my
http://mydomain.com url and pressed the button..
All done.. It couldn't have been simpler.. No messing about with http.conf files, no messing with DNS etc..
It just worked.. and its the method they suggest on the HostGator forum as well..
Hope this helps someone..