I've figured this out with moodle but I'm now wondering about it for Joomla...
On the Control Panel with the mysql and all the other jazz I've put joomla as a subdomain ie: http://web.mydomain and which should be mydomain.com/web now is there something I need to configure in Joomla to stay on web. and not go to /web ?
When I'm on the Joomla homepage its web. but if I go on any other page its www. then /web
You could use a rewrite rule in your .htaccess file to force it to use the subdomain, I imagine.
when you say control panel, do you mean something like CPanel, because those don't do subdomains properly, you should be doing it higher up in your dns control panel. (unless you have actual control over the web server running config)
I use apache with vhosts and do all my subdomains that way