Caution: It is recommended that you use May First's nameservers for your web site (which you can read about here), but if you cannot do this and must use another nameserver then follow the directions below.
From the control panel provided by the company you used to register your domain name, navigate to where you can add DNS records. Different companies offer different types of DNS records you can add, and may offer similar record types using different names. In general however, you will need to add a record that points directly to either the May First proxy server or the IP address of the proxy server.
Example:
Caution: if you create an A record that points directly to the IP address of the proxy server, be aware that the IP address may change if May First needs to update its infrastructure. In that case you will need to manually update the IP address again. Using a Flattened CNAME or ALIAS to point to the proxy server name will be more reliable as it will not change.