You’d have to create it at your hosting provider interface, like cPanel or Plesk, etc.
Furthermore, you’d just have to add a new DNS record, for exmaple A mysub pointed to your web hosting / server IP.
Helpful tutorial with a step-by-step instructions how to add a new DNS record (for a sub-domain in your case):
Make sure you’re having a valid SSL certificate covering your sub-domain.
Sharing here the article for more information about the possible SSL issues with a sub-domain, if so: